Regulatory Alerts2025-02-12
Added · Updated
Interest Rate Risk Management
The regulator issued this circular on 12 February 2025 to update guidance on Interest Rate Risk Management for all authorized institutions. The document includes specific annexes providing guidance on calculating capital adequacy ratios adjusted for unrealized losses on held-to-maturity debt securities and establishing good practices for using behavioral models to measure interest rate risk in the banking book. This update supersedes previous versions and references lessons drawn from the banking turmoil in the US and Europe.
CIR
Current
Issue Date:
12 Feb 2025
20250226-1-EN.pdf (114.6 KB)
Topic:
Interest Rate Risk Management
Group:
All Authorized Institutions
Directly related Document
Cross referenced Document
Version History
Superseded Document
Directly related Document
Annex
Current
12 Feb 2025
Annex 1 - Guidance on calculation of capital adequacy ratios adjusted for unrealised losses on held-to-maturity debt securities
Annex
Current
12 Feb 2025
Annex 2 - Good practices on using behavioural models for measuring interest rate risk in the banking book
CIR
Current
15 Dec 2023
Lessons drawn on the Banking Turmoil in the US and Europe
Annex
Current
12 Feb 2025
Annex 1 - Guidance on calculation of capital adequacy ratios adjusted for unrealised losses on held-to-maturity debt securities
Annex
Current
12 Feb 2025
Annex 2 - Good practices on using behavioural models for measuring interest rate risk in the banking book
CIR
Current
15 Dec 2023
Lessons drawn on the Banking Turmoil in the US and Europe
Version History
Superseded Document
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