On 23 Dec 2025, the HKMA revised the Completion Instructions for Form MA(BS)12 to introduce criteria for behavioral maturity reporting in interest rate risk exposures, requiring institutions to demonstrate consistent, data-backed assumptions with annual Board reviews. The revisions mandate reporting for HKD and USD as minimum currencies, clarify off-balance sheet derivative treatments using delta equivalents, and specify time-band slotting based on earliest repricing dates for all interest-bearing positions.
This article was generated using SAMS, an AI technology by Timothy Loh LLP.
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Key Reporting Changes
On 23 Dec 2025, the HKMA revised the Completion Instructions for Form MA(BS)12 (Return of Interest Rate Risk Exposures) to clarify reporting requirements for authorized institutions. The revisions introduce specific criteria for institutions to use behavioral maturity instead of contractual maturity when reporting interest rate risk positions, subject to HKMA approval. Institutions must demonstrate consistent, reasonable assumptions across interest rate scenarios, supported by at least one year of historical data, with annual senior management and Board reviews of key assumptions.
Mandatory Currency Reporting
The revised instructions mandate that all exempted authorized institutions report interest rate risk exposures for at least Hong Kong dollars and US dollars, with nil returns required for these currencies. Institutions must submit separate forms for each currency, reporting both on- and off-balance sheet positions in aggregate for the banking book and trading book. Positions in currencies like the Euro, SDR, or national currencies of Euro-participating countries must be treated as separate currencies, with all positions reported in Hong Kong dollar equivalents using mid-market T/T rates as of the reporting date.
Off-Balance Sheet Treatment
The instructions specify detailed reporting methodologies for off-balance sheet instruments, including forward foreign exchange contracts, interest rate swaps, cross-currency swaps, futures, options, and other derivatives. For options, institutions must report delta-equivalent values using proprietary pricing models and apply a two-legged approach for maturity slotting. Embedded options in assets/liabilities require decomposition into the option and underlying position, with the latter reported in appropriate time bands based on earliest repricing date. Forward arrangements and repurchase agreements must be reported as forward positions with specific maturity treatments.
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