On 23 Dec 2025, the HKMA revised the completion instructions for the IRRBB return (Form MA(BS)12A), mandating updated reporting of interest rate-sensitive assets, liabilities, off-balance sheet positions, and scenario impacts across specified time bands. The revisions require mandatory nil returns for HKD and USD, clarify reporting obligations by institution type, and standardize currency reporting for all major currencies under the existing regulatory framework.
This article was generated using SAMS, an AI technology by Timothy Loh LLP.
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Introduction
On 23 Dec 2025, the Hong Kong Monetary Authority (HKMA) issued revised completion instructions for the Return of Interest Rate Risk in the Banking Book (IRRBB), updating Form MA(BS)12A and its associated modules to align with current regulatory reporting standards.
Revised Reporting Framework
The revised instructions mandate banks to report interest rate risk exposures under four distinct forms (Forms 1–4) covering interest rate-sensitive assets, liabilities, off-balance sheet positions, and scenario impact analysis. Form 1 details assets by time bands based on earliest repricing dates, Form 2 covers liabilities with similar time-band classification, Form 3 addresses off-balance sheet items including options using delta equivalents, and Form 4 quantifies impact on earnings and economic value under stress scenarios.
Currency and Scope Requirements
Banks must report exposures in all major currencies defined in the completion instructions, with mandatory nil returns for Hong Kong dollar and US dollar. The instructions clarify that locally incorporated Authorized Institutions subject to the market risk capital adequacy regime report banking book positions only, while other locally incorporated institutions and overseas-incorporated institutions must report aggregate banking and trading book positions.
Bank-Specific Reporting Obligations
Overseas incorporated institutions are required to report only their Hong Kong office positions, and all institutions must submit the return within six weeks after each quarter-end. The revised instructions specify that Tier 1 capital for scenario impact calculations must reflect head office capital for overseas institutions, and option contracts must be reported from the holder's perspective using delta equivalents as outlined in paragraph 39 of the completion instructions.
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