Investor Presentaiton
MORGAN STANLEY BANK ASIA LIMITED
UNAUDITED SUPPLEMENTARY FINANCIAL INFORMATION
Year ended 31 December 2020
H. PILLAR 3 DISCLOSURE (CONTINUED)
Template IRRBB1: Quantitative information on interest rate risk in banking book
AEVE
ANII
As at
As at
Period
31 December
2020
USD'000
31 December
2019
USD'000
As at
31 December
2020
USD'000
As at
31 December
2019
USD'000
1
Parallel up
2
Parallel down
3
Steepener
4
Flattener
5
Short rate up
6
Short rate down
7
Maximum
Period
8
Tier 1 capital
(10,030)
(17,998)
22,764
13,572
10,030
17,998
1,129
1,306
2,868
318
126
12,060
7,024
22,764
13,572
10,030
17,998
As at 31 December 2020
As at 31 December 2019
USD'000
999,061
USD'000
860,933
As at 31 December 2020 and 31 December 2019, the maximum change in EVE under the standardised
framework in SPM IR-1 on the Company's interest rate sensitive positions in the banking book is below
the threshold of 15% of the Company's Tier 1 Capital as set by HKMA. Overall movement in EVE and
NII due to an increase in NMDs for the year end 31 December 2020, which are allocated to different
behavioral maturity classes up to 4 years.
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