Regulatory Alerts2018-12-14
Added · Updated
Interest Rate Risk in the Banking Book (IRRBB): Local Implementation
The Hong Kong Monetary Authority mandates Authorized Institutions to submit quarterly returns detailing their interest rate risk exposures in the banking book under the Banking Ordinance. The reporting framework requires institutions to disclose on- and off-balance sheet positions across major currencies, categorized by time bands based on earliest interest repricing dates. Additionally, institutions must provide scenario analysis impacts on earnings and economic value to assess potential risks from interest rate movements.
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