Hong Kong Regulations

BANKING (DISCLOSURE) RULES - SECT 71

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 for significant upward
        and downward interest rate movements broken down, if relevant, by
        currency in accordance with the method used in the returns relating to
        interest rate risk exposures submitted by it to the Monetary Authority
        pursuant to section 63 of the Ordinance in respect of the
        annual reporting  period.