The China Banking and Insurance Regulatory Commission revised guidelines for commercial banks' supervision and management of risks stemming from movements of interest rates, according to a May 30 statement.
The regulator revised interest rate risk in the banking book, or IRRBB, guidelines in order to improve risk management at Chinese commercial banks. The guidelines evaluate risks to banks' earnings arising from movements of interest rates.
The revision of the guidelines is targeting China's systemically important banks, consisting of large commercial banks, joint-stock banks and Postal Savings Bank of China Co. Ltd., Xinhua News Agency reported, citing an anonymous source from the commission.
The guidelines introduce six new interest-rate shock scenarios and provide additional details for the customer behavior option risk assumptions, according to the source cited by Xinhua. The source added that the new indicators will only apply to big banks.
The official statement from the commission did not provide details of the indicators.
The guidelines were originally published in November 2017 and cover seven chapters including stress testing measurement system and model management, interest rate shock scenario design requirements and customer behavior option risk measurement.
Banks are required to apply the relevant indicators and risk management measures, according to the guidelines, which will take effect Jan. 1, 2019.
