Interest Rate Risk

Superseded document

Basel Committee on Banking Supervision

Consultative Document
Principles for the
Management and Supervision of Interest Rate Risk
Supporting Document to the New Basel Capital Accord
Issued for comment by 31 May 2001
January 2001

Superseded document

Superseded document

Table of contents

SUMMARY .............................................................................................................................................. 1
I.

SOURCES AND EFFECTS OF INTEREST RATE RISK ............................................................. 5
A.
SOURCES OF INTEREST RATE RISK ........................................................................................ 5
B.
EFFECTS OF INTEREST RATE RISK.......................................................................................... 6

II.

SOUND INTEREST RATE RISK MANAGEMENT PRACTICES ................................................. 8

III.

BOARD AND SENIOR MANAGEMENT OVERSIGHT OF INTEREST RATE RISK................... 9
A.
B.
C.

BOARD OF DIRECTORS........................................................................................................... 9
SENIOR MANAGEMENT ......................................................................................................... 10
LINES OF RESPONSIBILITY AND AUTHORITY FOR MANAGING INTEREST RATE RISK .................. 10

IV.

ADEQUATE RISK MANAGEMENT POLICIES AND PROCEDURES ...................................... 12

V.

RISK MEASUREMENT, MONITORING AND CONTROL FUNCTIONS ................................... 14
A.
B.
C.
D.

INTEREST RATE RISK MEASUREMENT..................................................................................... 14
LIMITS ................................................................................................................................. 16
STRESS TESTING