Interest rate risk banking book hkma
Interest Rate Risk in the Banking Book (IRRBB) IRRBB Overview Interest rate risk in the Banking Book (IRRBB) is the risk to earnings or capital arising from movement of interest rates. It generally arises from Repricing risk, risks related to the timing mismatch in the maturity and repricing of assets and liabilities and off Nov 2017. The Basel Committee on Banking Supervision (BCBS) issued new standards on IRRBB in April 2016. In response to the new standards, the HKMA published a consultation paper regarding the proposal to update the current SPM module IR-1 “Interest Rate Risk Management” and the return of “MA(BS)12 - Interest Rate Risk Exposure” in June 2017. HKMA is revising the implementation date of the new interest rate risk in the banking book (IRRBB) standards in Hong Kong, from January 01, 2018 to January 01, 2019. Banks should be ready to measure and report their IRRBB exposures using the proposed standardized framework in 2019, with the first report based on data as of December 31, 2018. BCBS (2016): Interest rate risk in the banking book, Bank for International Settlements. FDIC (1997): History of the Eighties, Volume I: An Examination of the Banking Crises of the 1980s and Early 1990s, Federal Deposit Insurance Corporation. Marcel Bluhm (HKMA) Interest Rate Risk in the Banking Book 27 / 27 The interest rate risk in banking book refers to the risk to a bank’s capital and earnings arising from adverse movements in interest rates that affect banking book positions. Any changes in interest rates have an impact on the present value of future cash flows on the bank.
The interest rate risk in banking book refers to the risk to a bank’s capital and earnings arising from adverse movements in interest rates that affect banking book positions. Any changes in interest rates have an impact on the present value of future cash flows on the bank.
8 Apr 2019 Basel Committee on Banking Supervision published Standards on Interest Rate Risk in Banking Book in April 2016. Apart from others, it 12 Dec 2008 http://www.info.gov.hk/hkma/eng/bank/spma/attach/IR-1-return.pdf Interest rate risk in the banking book arises from a bank's core banking standards on “Interest rate risk in the banking book”3 (IRRBB). These standards are intended to replace an earlier guidance set out in the 2004 “Principles for the management and supervision of interest rate risk”4, which laid out the principles and the methods expected to be used by banks for measuring, managing, monitoring and Interest Rate Risk in the Banking Book (IRRBB): Local Implementation (PDF File, 80.9 KB) Encl. 1 SPM IR-1 IRRBB (PDF File, 739.2 KB) Encl. 2 Return of Interest Rate Risk in the Banking Book (Form MA(BS)12A) (PDF File, 573.7 KB) In response to the new standards, the HKMA published a consultation paper regarding the proposal to update the current SPM module IR-1 “Interest Rate Risk Management” and the return of “MA (BS)12 - Interest Rate Risk Exposure” in June 2017. The new standards on IRRBB will become effective by 1 January 2019.
The Committee's review of the regulatory treatment of interest rate risk in the banking book is motivated by two objectives: First, to help ensure that banks have appropriate capital to cover potential losses from exposures to changes in interest rates.
1. The composite interest rate is a weighted average interest rate of all Hong Kong dollar interest bearing liabilities, which include deposits from customers, amounts due to banks, negotiable certificates of deposit and other debt instruments, and Hong Kong dollar non-interest bearing demand deposits on the books of banks.
Interest rate risk in banking book (IRRBB) refers to the current or prospective risk to a bank’s capital and earnings arising from adverse movements in interest rates that affect banking book positions.
14 Dec 2018 Interest Rate Risk in the Banking Book (IRRBB): Local Implementation available on the HKMA's public (http://www.hkma.gov.hk) and private. 4 Jun 2017 This consultation paper sets out the Hong Kong Monetary Authority's (HKMA) standards on “Interest rate risk in the banking book”3 (IRRBB). 28 Nov 2019 The HKMA has received a few more questions related to the local implementation of standards on interest rate risk in the banking book (IRRBB) 8 Feb 2019 Following this publication, the HKMA has received a number of questions related to the local IRRBB implementation. As the answers to some of Items 10 - 15 RETURN OF INTEREST RATE RISK IN THE BANKING BOOK. Position of to the HKMA not later than six weeks after the end of each quarter. 31 Aug 2018 The HKMA will however reserve the discretion to require any of these exempted. AIs to implement the new local IRRBB framework and to meet Items 10 - 15 (For Official Use Only). Interest Rate Risk Exposures. Position of * Banking Book / Trading Book and Banking Book (Note (1)). Currency (Note (2)):.
The interest rate risk in the banking book can be measured and controlled at present value or periodically. In the present value perspective, the risk is quantified as an economic value change of the total banking book cash flow in case of changes in the yield curve.
The composite interest rate is a weighted average interest rate of all Hong Kong dollar interest bearing liabilities, which include deposits from customers, amounts due to banks, negotiable certificates of deposit and other debt instruments, and Hong Kong dollar non-interest bearing demand deposits on the books of banks. Interest Rate Risk in the Banking Book (IRRBB) IRRBB Overview Interest rate risk in the Banking Book (IRRBB) is the risk to earnings or capital arising from movement of interest rates. It generally arises from Repricing risk, risks related to the timing mismatch in the maturity and repricing of assets and liabilities and off Nov 2017. The Basel Committee on Banking Supervision (BCBS) issued new standards on IRRBB in April 2016. In response to the new standards, the HKMA published a consultation paper regarding the proposal to update the current SPM module IR-1 “Interest Rate Risk Management” and the return of “MA(BS)12 - Interest Rate Risk Exposure” in June 2017.
28 Nov 2019 Interest Rate Risk in the Banking Book: Frequently Asked Questions (PDF File, 82.5 KB). Encl. 1 IRRBB FAQ - Supervisory Policy - IRRBB (PDF 14 Dec 2018 Interest Rate Risk in the Banking Book (IRRBB): Local Implementation available on the HKMA's public (http://www.hkma.gov.hk) and private. 4 Jun 2017 This consultation paper sets out the Hong Kong Monetary Authority's (HKMA) standards on “Interest rate risk in the banking book”3 (IRRBB). 28 Nov 2019 The HKMA has received a few more questions related to the local implementation of standards on interest rate risk in the banking book (IRRBB)