Interest Rate Risk in the Banking Book (IRRBB)

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. The new standards on IRRBB will become effective by 1 January 2019. The three key areas of changes are: 

  • Standardised framework 
  • Modelling considerations
  • Credit Spread Risk in the Banking Book (“CSRBB”) monitoring. 

Contact us

Brian KY Yiu
Partner
Tel: +[852] 2289 1934
Email

Emily Lam
Partner
Tel: +[852] 2289 1247
Email

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