Amendments to the Disclosure Requirement on Interest Rate Risk in the Banking Book
Baruoxo SeNrnaL NG ptulprNes OFFICE OF THE GOVERNOR ctRcutAR NO. 1067 Series of 2019 Subject: Amendments to the Disclosure Requirement on Interest Rate Risk in the Banking Book The Monetary Board, in its Resolution No. 1862 dated 28 Novemb er 2O!9, approved the revisions to the minimum disclosure requirements under Appendix 59 on the Risk-Based capital Adequacy Framework for the Philippine Banking System on interest rate risk in the banking book (IRRBB), as follows: "Part lx. Disclosures in the Annual Reports and published Barance sheets L. Xxx 2. Xxx A. Capital structure and capltal adequacy Xxx 8. Risk exposures and assessments Xxx lnterest Rate Risk in Bonking Book 10. Aside from the general disclosure requirements stated in paragraph 4, the following information with regard to interest rate risk in the banking book have to be disclosed in banks, Annual Reports: a) A description of how the bank defines IRRBB for purposes of risk control and measurement; b) A description of the bank's overail |RRBB management and mitigation strategies. Examples are: monitoring of risk measures in relation to established limits, hedging practices, conduct of stress testing, outcomes analysis, the role of independent audit, the role and practices of the asset and liability committee (ALCO), the bank,s practices to ensure appropriate model validation, and timery updates in response to changing market conditions; A Mabini st., Mar?rte:1004 Manira, phirippines. (632) 708i701 . www.bs;r.gov.ph. bspmoir{_{pb:ip.ti'v.ph
c) The periodicity of the calculation of the bank's IRRBB measures, and a description of the specific measures that the bank uses to gauge its sensitivity to IRRBB; d) A description of the interest rate shock and stress scenarios that the bank uses to estimate changes in the economic value andlor in earnings; e) A high-level description of how the bank hedges its IRRBB, as well as the associated accountang treatment; and f) A high-level description of key modelling and parametric assumptions used in IRRBB measurement. This Circular shall take effect fifteen (15) calendar days following its publication eather in the official Gazette or in a newspaper of general circulation. FOR THE MONETARY BOARD: \ BENJAMIN E. DIOKNO Governor /! o"."rber 2019 Page 2 ot 2
More in BSP Circulars
- Amendment to the Regulations on the Approval/Confirmation of the Election/Appointment of Directors/Officers(BSP Circular No. 758)
- Revision of the Rediscount Rates on Rediscounting Window (RW) I(BSP Circular No. 916)
- Philippine Financial Reporting Standards 9(BSP Circular No. 761)
- Amendment to Section 2 of Circular No. 297(BSP Circular No. 326)
- Rules of Procedure on Administrative Cases Involving Directors and Officers of Banks, Quasi-Banks and Trust Entities(BSP Circular No. 477)
- Amendment to Regulations on Clean Note and Coin Policy(BSP Circular No. 897)
- Regulatory Relief to Banks Under Rehabilitation Program(BSP Circular No. 763)
- To amend the guidelines on check clearing rules for TBs authorized to accept demand deposits and for RBs who are members of the Philippine Clearing House Corporation(BSP Circular No. 516)
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