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Interest Rate Risk Comptroller’s Handbook

Securities firm balance sheets primarily reflect securities portfolios and securities financing arrangements. For example, the stylised balance sheet included in Annex 2 suggests that the majority of assets for securities firms are fully collateralized receivables arising from securities borrowed and reverse repurchase transactions with other non-retail market participants. The next greatest asset category is securities owned by the firm at fair value, which includes positions related to derivative transactions. Customer receivables tend to make up less than a quarter of assets, and these are typically fully secured, often with substantial margins of over-collateralization. On the liability side, the largest items. | As of January 12 2012 this guidance applies to federal savings associations in addition to national banks. o L-IRR Comptroller of the Currency Administrator of National Banks Interest Rate Risk Comptroller s Handbook Narrative - June 1997 Procedures - March 1998 References in this guidance to national banks or banks generally should be read to include federal savings associations FSA . If statutes regulations or other OCC guidance is referenced herein please consult those sources to determine applicability to FSAs. If you have questions about how to apply this guidance please contact your OCC supervisory office. L and Funds As of January 12 2012 this guidance applies to federal savings associations in addition to national banks. Interest Rate Risk Table of Contents Introduction Background 1 Definition 1 Banking Activities and Interest Rate Risk 2 Board and Senior Management Oversight 2 Effective Risk Management Process 3 Organizational Structures for Managing Interest Rate Risk 4 Evaluation oflnterest Rate Exposures 5 Supervisory Review of Interest Rate Risk Management 6 Risk Identification 8 Risk Measurement 10 Risk Monitoring 16 Risk Control 17 Examination Procedures 20 Appendixes A. Joint Agency Policy Statement on Interest Rate Risk 35 B. Earnings versus Economic Perspectives -- A Numerical Example 40 C. Large Bank Risk Assessment System for Interest Rate Risk 43 D. Community Bank Risk Assessment System for Interest Rate Risk 46 E. Common Interest Rate Risk Models 48 F. In-House versus Vendor Interest Rate Risk Models 63 G. Nonmaturity Deposit Assumptions 65 H. Funds Transfer Pricing 69 References 70 Comptroller s Handbook i Interest Rate Risk As of January 12 2012 this guidance applies to federal savings associations in addition to national banks. Interest Rate Risk Introduction Background The acceptance and management of financial risk is inherent to the business of banking and banks roles as financial intermediaries. To meet the demands of their customers .