Regulatory Alerts2019-11-28
Added · Updated
Interest Rate Risk in the Banking Book: Frequently Asked Questions - Reporting Requirement
The document provides reporting instructions for Authorized Institutions (AIs) regarding the Interest Rate Risk in the Banking Book (IRRBB) framework, including specific thresholds for exempting insignificant subsidiaries and requirements for behavioral analysis data. It mandates that AIs use at least 10 years of historical data for non-maturity deposits, with conditional approvals required for shorter periods, and specifies that credit card receivables, nostro/vostro accounts, and non-performing loans are in scope. The text details calculation methodologies for optionality, yield curves, and significant currencies, while clarifying that the HKMA does not provide risk-free yield curves and that CNH and CNY must be reported separately.
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