HKICPA survey on current practices in dynamic interest rate risk management in the context of the IASB's Exposure Draft on Risk Mitigation Accounting

Introduction

1. In December 2025, the International Accounting Standards Board (IASB) published an Exposure Draft (ED) on Risk Mitigation Accounting (RMA) (Note 1), proposing a new accounting model to better reflect how financial institutions manage interest rate risk throughout their portfolios. To integrate this model and enhance disclosures on interest rate risk management activities, the IASB proposes amendments to IFRS 9 Financial Instruments and IFRS 7 Financial Instruments: Disclosures. The IASB is also seeking feedback on the proposed withdrawal of IAS 39 Financial Instruments: Recognition and Measurement.

2. The HKICPA is inviting comments on the ED, with responses due by 1 June 2026.

Purpose of this survey

3. The survey aims to collect information on current practices in dynamic interest rate risk management in the context of the ED. As the IASB will consider the feedback received on the ED, together with the feedback on the IFRS 9 hedge accounting requirements on which it will consult in H2 2026, the survey includes several questions relating to the application of hedge accounting under HKFRS/IFRS 9 by entities in Hong Kong. The survey results will support the HKICPA in assessing the impact of the proposed RMA model and in developing its comment letters to the IASB.

Structure of the survey

4. The survey comprises the following sections:
Section 1 – General questions (12 questions)
Section 2 – Questions for banks (9 questions)
Section 3 – Questions for insurers (9 questions)
Section 4 – Questions for other entities (1 question)

5. All respondents should begin by completing Section 1. Where respondents manage interest rate risk, they should proceed to the section(s) relevant to their business activities:
• Banks should complete Section 2
• Insurers should complete Section 3
• Entities with both banking and insurance operations should complete both Sections 2 and 3.
• Other entities should complete Section 4.

6. Respondents have discretion in determining the extent of their participation in the survey. While the HKICPA welcomes comprehensive feedback, respondents may provide answers and further details only to those questions they consider most pertinent, and they are not obliged to address every question within the applicable sections.

7. To complete the survey, input is expected from individuals with accounting expertise and/or risk management/treasury expertise.

Additional information

8.   Submission: Please submit your responses by 31 March 2026 by clicking the "Submit" button at the bottom of the survey.

9. Personal Data: All information provided in this form will only be used by the HKICPA for the purposes specified in paragraph 3 above. The HKICPA may also use your personal data provided in this form for statistical research and analysis and other use internally. The provision of personal data by means of this form is voluntary. By completing the form, you agree that the staff of the HKICPA may use your personal data for the purpose specified in paragraph 3 above. Please refer to the HKICPA’s privacy policy at its website at: http://www.hkicpa.org.hk/en/Tools/Privacy-policy

10.   Enquiries: For questions regarding the survey content, please contact outreachhk@hkicpa.org.hk.

Thank you for your participation in this survey.

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Note 1:
See also Basis for Conclusions, Illustrative Examples and Implementation Guidance, and a Snapshot providing a high-level summary of the ED issued by the IASB.

Section 1 – General questions

(*) mandatory question

Question 1.1 Respondent’s profile *This question is required.

Name of respondent:
Name of the organization:
Email address:

Question 1.2 What is the activity of your entity or group? *This question is required.

Please enter an 'other' value for this selection.

For the rest of the survey, please interpret each question as referring to your entity including any entity controlled by your entity (excluding entities that control your entity and entities controlled by such entities).

Question 1.3 What is the accounting framework applied in your entity’s financial statements? *This question is required.

Please enter an 'other' value for this selection.

Question 1.4 Does your entity perform risk management of interest rate exposures? *This question is required.

Question 1.5 At which level does your entity apply interest rate risk management practices?

Please enter an 'other' value for this selection.

Question 1.6 Which hedge accounting framework and types of hedging relationships does your entity apply to its interest rate risk management?

Please select all that apply:

(a) No hedge accounting applied for interest rate risk management
(b) HKAS/IAS 39 cash flow hedge accounting
(c) HKAS/IAS 39 fair value hedge accounting
(d) HKFRS/IFRS 9 cash flow hedge accounting
(e) HKFRS/IFRS 9 fair value hedge accounting
(f) HKFRS/IFRS 9 cash flow hedge accounting of a group of items
(g) HKFRS/IFRS 9 fair value hedge accounting of a group of items
(h) Other hedge accounting, please specify
Please enter an 'other' value for this selection.

Please provide a brief description of the hedged item(s) for each respective hedging relationship.

Please indicate your entity’s significant benchmark interest rate exposures (e.g., HIBOR, SONIA, SOFR, EURIBOR).

Question 1.7 What type of derivatives does your entity use for hedging interest rate risk?

Please select all that apply:

(a) Interest rate swaps
(b) Interest rate futures and forwards
(c) Cross currency interest rate swaps
(d) swaptions, caps and floors
(e) Other, please specify
Please enter an 'other' value for this selection.

Question 1.8 Does your entity hedge foreign currency risk and interest rate risk simultaneously?

Please enter an 'other' value for this selection.

Question 1.9 Specifically in relation to the total interest rate risk managed, how significant is the cross currency interest risk management?

Questions 1.10 - 1.12 are applicable only to respondents who apply the hedge accounting requirements in HKFRS/IFRS 9 in their financial statements.

Question 1.10 Apart from interest rate risk, does your entity manage other types of market risks (e.g., commodity price risk, foreign currency risk)?

Question 1.11 Which hedge accounting framework and types of hedging relationships does your entity apply when managing these market risks?

Please select all that apply:

(a) No hedge accounting applied
(b) HKFRS/IFRS 9 cash flow hedge accounting
(c) HKFRS/IFRS 9 fair value hedge accounting
(d) HKFRS/IFRS 9 hedge of net investment in a foreign operation
(e) HKFRS/IFRS 9 cash flow hedge accounting of a group of items
(f) HKFRS/IFRS 9 fair value hedge accounting of a group of items
(g) Other hedge accounting, please specify
Please enter an 'other' value for this selection.

Please provide a brief description of the hedged risk(s), hedged item(s) and hedging instrument(s) for each respective hedging relationship.

Question 1.12 The IASB will undertake its Post-implementation Review of IFRS 9 on hedge accounting requirements in H2 2026. Do you have any significant comments on the hedge accounting requirements in HKFRS/IFRS 9?

Do you agree to HKICPA reaching out to you to seek further comments on the ED?

To continue, please select the appropriate section(s) to complete the survey:

Section 2 – Questions for banks that manage interest rate risk

Please select as appropriate:

Question 2.1 In general, how closely does your entity’s current accounting for dynamic interest rate risk management reflect its actual risk management practices?

Question 2.2 How does your entity calculate the interest rate risk position(s) managed dynamically (e.g., net versus gross position)?

Please enter an 'other' value for this selection.

Question 2.3 Does your entity include equity in its interest rate risk management practices?

Please enter an 'other' value for this selection.

Question 2.4 Which items does your entity include in this/these risk position(s)?

Please select all that apply:

(a) Financial assets measured at amortised cost
(b) Financial assets measured at fair value through other comprehensive income
(c) Financial liabilities measured at amortised cost
(d) Future transactions that could result in the recognition or derecognition of financial instruments specified in (a), (b) or (c) (e.g., firm commitments, forecast transactions that are highly probable)
(e) Other, please specify
Please enter an 'other' value for this selection.

Question 2.5 Does your entity include demand deposits in the interest rate risk position(s)?

Question 2.6 Does your entity include assets with prepayment options at par (or at fixed price) in the interest rate risk position(s)?

Question 2.7 Is the interest rate risk position managed by time buckets only?

Question 2.8 Please briefly explain any significant issues which your entity currently faces in accounting for interest rate risk management practices in its financial statements.

Question 2.9 In addition to inviting comments on the proposals in the ED, the IASB is also inviting companies that manage repricing risk on a net basis to participate in fieldwork to assess the likely effects of the proposed RMA model. Is your entity planning to conduct or participate in a field test of the requirements in the ED?

Section 3 – Questions for insurers that manage interest rate risk

Please select as appropriate:

Question 3.1 Please briefly explain your significant exposures to interest rate risk, including any exposures arising from issued insurance contracts. In addition, please indicate whether interest rate risk management is considered important within your firm management framework.

Question 3.2 Which accounting models in HKFRS/IFRS 17 Insurance Contracts does your entity apply?

Please select all that apply:

(a) General model/building block approach
(b) Modified general model/building block approach
(c) Premium allocation approach
(d) Variable fee approach

Please briefly describe which model is used for which type(s) of significant insurance contracts. Please only mention the types of insurance contracts where interest rate risk is considered significant.

Question 3.3 In general, how closely does your entity’s current accounting for dynamic interest rate risk management reflect its actual risk management practices?

Question 3.4 How does your entity calculate the interest rate risk position(s) managed dynamically (e.g., net versus gross position)?

Please enter an 'other' value for this selection.

Question 3.5 Which items does your entity include in this/these risk position(s)?

Please select all that apply:

(a) Financial assets measured at amortised cost
(b) Financial assets measured at fair value through other comprehensive income
(c) Financial liabilities measured at amortised cost
(d) Future transactions that could result in the recognition or derecognition of financial instruments specified in (a), (b) or (c) (e.g., firm commitments, forecast transactions that are highly probable)
(e) Other, please specify
Please enter an 'other' value for this selection.

Question 3.6 Is the interest rate risk position managed by time buckets only?

Question 3.7 How does your entity account for the related financial assets and insurance liabilities which have exposure to interest rate risk managed dynamically (e.g., for insurance liabilities, describe the use of the other comprehensive income (OCI) option and the risk mitigation option)?

Question 3.8 To what extent do the requirements of HKFRS/IFRS 17 (including the OCI option and risk mitigation option) or HKFRS/IFRS 9 meet your entity’s accounting needs in respect of interest rate risk management, and what significant issues, if any, does your entity face in accounting for interest rate risk management practices in its financial statements?

Question 3.9 In addition to inviting comments on the proposals in the ED, the IASB is also inviting companies that manage repricing risk on a net basis to participate in fieldwork to assess the likely effects of the proposed RMA model. Is your entity planning to conduct or participate in a field test of the requirements in the ED?

Section 4 – Question for other entities that manage interest rate risk

Question 4.1 Please briefly explain your interest rate risk management practices, both from the risk management and the accounting perspectives, and any significant issues which your entity faces in accounting for interest rate risk management practices in its financial statements.