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PRINCIPLES
FOR THE MANAGEMENT OF INTEREST RATE RISK
Basel Committee on Banking Supervision
Basel
September 1997
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. Monitoring of interest rate risk by supervisory authorities
Annex A Interest rate risk measurement techniques
A. Repricing schedules
B. Simulation approaches
C. Additional issues
Annex В Monitoring of interest rate risk by supervisory authorities
A. Time bands
B. Items
C. Supervisory analysis
Principles for the Management of Interest Rate Risk
SUMMARY
1. As part of its on-going efforts to address international bank supervisory issues, the Basle Committee on Banking Supervision(1) is issuing the attached paper on the management of interest rate risk. In this, as in many other areas, sound controls are of crucial importance. It is essential that banks have a comprehensive risk management process in place that effectively identifies, measures, monitors and controls interest rate risk exposures, and that is subject to appropriate board and senior management oversight. The attached paper describes each of these elements, drawing upon experience in member countries and principles established in earlier publications by the Committee. The objective of the paper is to outline a number of principles for use by supervisory authorities when evaluating banks' interest rate risk management.
