Hong Kong Regulations

BANKING (DISCLOSURE) RULES - SECT 64

Interest rate exposures in banking book

An authorized institution shall, in respect of its interest rate exposures
which arise from its banking book positions, disclose—

   (a)  the nature of the risk;

   (b)  the key assumptions the institution uses in its measurement of the
        risk (including assumptions regarding loan prepayments and the
        behaviour of deposits without a fixed maturity);

   (c)  the frequency of its measurement of the risk; and

   (d)  the variations in earnings or economic value (or other relevant
        measures used by the institution) for significant upward and downward
        interest rate movements in accordance with the method the institution
        uses for stress-testing, broken down by currency, if relevant.