Bankowość · 2.08.1995

Joint Agency Policy Statement: Supervisory Policy Statement Concerning a Supervisory Framework for Measuring and Assessing Banks' Interest Rate Risk Exposure

The OCC, the Board, and the FDIC (collectively, ``the agencies'') seek comment on a proposed interagency Supervisory Policy to establish a uniform supervisory framework for measuring banks' interest rate risk (IRR) exposures. The proposed policy establishes a framework that the agencies would use to measure and monitor the level of IRR at individual banks. The measurement process proposed and described in this policy statement is intended to facilitate the agencies' assessment of a bank's IRR exposure and its capital adequacy. The results of the supervisory and internal models would be one factor used by the agencies in their assessments' of a bank's capital adequacy for IRR. Other factors that the agencies will consider include the quality of the bank's IRR risk management process, the overall financial condition of the bank, and the level of other risks at the bank for which capital is needed. Pursuant to the final rule banks may be required to hold additional capital. The proposed supervisory framework provides measures of the change in a bank's economic value for a given change in interest rates using a supervisory model. The framework also considers the results of a bank's int