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Principles for the
Management and Supervision of Interest Rate Risk
(Basel Committee on Banking Supervision, July 2004)
Table of Contents
Summary
I. Sources and effects of interest rate risk
A. Sources of interest rate risk
B. Effects of interest rate risk
II. Sound interest rate risk management practices
III. Board and senior management oversight of interest rate risk
A. Board of directors
B. Senior management
C. Lines of responsibility and authority for managing interest rate risk
IV. Adequate risk management policies and procedures
V. Risk measurement, monitoring, and control functions
A. Interest rate risk measurement
B. Limits
C. Stress testing
D. Interest rate risk monitoring and reporting
VI. Internal controls
VII. Information for supervisory authorities
VIII. Capital adequacy
IX. Disclosure of interest rate risk
X. Supervisory treatment of interest rate risk in the banking book
Annex 1: Interest rate risk measurement techniques
A. Repricing schedules
B. Simulation approaches
C. Additional issues
Annex 2: Monitoring of interest rate risk by supervisory authorities
A. Time bands
B. Items
C. Supervisory analysis
Annex 3: The standardised interest rate shock
Annex 4: An example of a standardised framework
A. Methodology
B. Calculation process
Summary
1. As part of its ongoing efforts to address international bank supervisory issues, the Basel Committee on Banking Supervision (1) (the Committee) issued a paper on principles for the management of interest rate risk in September 1997. In developing these principles, the Committee drew on supervisory guidance in member countries, on the comments of the banking industry on the Committee's earlier paper, issued for consultation in April 1993,(2) and on comments received on the draft paper issued for consultation. In addition, the paper incorporated many of the principles contained in the guidance issued by the Committee for derivatives activities,(3) which are reflected in the qualitative parameters for model users in the capital standards for market risk (Market Risk Amendment).(4) This revised version of the 1997 paper was released for public consultation in January 2001 and September 2003, and is being issued to support the Pillar 2 approach to interest rate risk in the banking book in the new capital framework.(5) The revision is reflected especially in this Summary, in Principles 12 to 15, and in Annexes 3 and 4.
