On 23 Dec 2025, the HKMA revised Completion Instructions for Form MA(BS)12B to standardize reporting of interest rate-sensitive liabilities for IRRBB assessment. The updates clarify time-band slotting, embedded options treatment, and weighted average cost calculations, requiring institutions to report aggregate banking/trading book positions where applicable and aligning with Form MA(BS)12A methodology. The revised instructions take effect from January 2026.
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 Supplementary Information Form MA(BS)12B, which collects monthly data on interest rate-sensitive liabilities for the compilation of the monthly composite interest rate for Hong Kong. The revisions update reporting requirements to enhance consistency and accuracy in capturing banking book liabilities for interest rate risk in the banking book (IRRBB) assessment.
Reporting Requirements and Scope
Selected Authorized Institutions (AIs) must submit the revised form by the 14th day after each month-end, reporting positions as of the last calendar day of the month. Locally incorporated non-exempted institutions (subject to market risk capital adequacy regime) report only banking book positions, while exempted institutions and overseas incorporated AIs report aggregate banking and trading book positions. All positions must be slotted into time bands based on the earliest interest repricing date, using notional values rounded to the nearest million HKD.
Key Clarifications and Reporting Changes
The revised instructions clarify that interest rate-sensitive liabilities include instruments sensitive to interest rate movements (e.g., discount bonds), excluding internal banking book deals. Embedded options must be decomposed, with underlying liabilities reported per repricing date and options excluded. Installment liabilities require tranche-level reporting by repricing date. Institutions may report total weighted average costs for all time bands (items 1c and 1d) instead of per-band calculations, with rates rounded to two decimal places.
Specific Form Instructions
Item 1a (total interest rate-sensitive liabilities) and 1b (deposits) must be reported per time band (rows A-O) and total. Items 1c (weighted average cost of all liabilities) and 1d (weighted average cost of deposits) are required per row but not for the total row. Item 1p (total interest rate-sensitive liabilities book value) aggregates item 1a values. Non-sensitive liabilities (items 1q and 1r) and total liabilities (item 1 total) must align with Form MA(BS)1 reporting for consistency.
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