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OCC Bulletin 2012-5 | January 12, 2012

Interest Rate Risk Management: FAQs on 2010 Interagency Advisory on Interest Rate Risk Management


Chief Executive Officers of All National Banks and Federal Savings Associations, Department and Division Heads, and All Examining Personnel

The financial regulators1 have received requests to clarify points in the 2010 Interagency Advisory on Interest Rate Risk Management (the advisory). In response, this "Frequently Asked Questions" (FAQs) document answers commonly asked questions. The document addresses areas critical to effective and sound interest rate risk (IRR) management, including appropriate measurement and reporting, robust and meaningful stress testing; assumption development reflecting the institution’s experience; and comprehensive model validation.

The OCC expects all national banks and federal savings associations to manage their IRR exposures using processes and systems commensurate with their earnings and capital levels; complexity; business model; risk profile; and scope of operations.

As detailed in Federal Register 76 FR 39981 and Office of Thrift Supervision (OTS) Chief Executive Officer Memo #391, dated July 7, 2011,2 the federal banking agencies will discontinue after the December 31, 2011-reporting period, the Consolidated Maturity/Rate Schedule (Schedule CMR) and OTS Net Portfolio Value (NPV) IRR Model.

By March 31, 2012, savings associations will be expected to have an independent IRR measurement process in place that measures both earnings and capital at risk, as described in the 2010 interagency advisory and the 1996 IRR policy statement.

As a result, effective March 31, 2012, the following OTS guidance is rescinded:

  • Thrift Bulletin 13a, Management of IRR, Investment Securities, and Derivatives Activities
  • Thrift Bulletin 13a-2, Structured Advances
  • Chief Executive Officers Memo #195, Risk Management Practices in the Current Interest Rate Risk Environment
  • Chief Executive Officers Memo #248, Enhanced NPV Model
  • Chief Executive Officers Memo #271, Interest Rate Risk-Interim Changes
  • Chief Executive Officers Memo #334, Interagency Advisory on IRR Management
  • Examination Handbook, Section 650, Interest Rate Risk Management (and related programs and appendixes)

Other OTS guidance documents addressing regulatory requirements that differ from requirements for national banks are being evaluated by the OCC and may be rescinded in the future.

For more detailed IRR guidance applicable to both national banks and federal savings associations, please refer to the following bulletins and other background information:

For further information, call Kerri R. Corn, Director for Market Risk, at (202) 649-6360.

  1 The Board of Governors of the Federal Reserve System (FRB), the Federal Deposit Insurance Corporation (FDIC), the National Credit Union Administration (NCUA), the Office of the Comptroller of the Currency (OCC), and the Federal Financial Institutions Examination Council (FFIEC) State Liaison Committee.

2 See 76 FR 39981 at and CEO Memo #391 at

John C. Lyons Jr.
Senior Deputy Comptroller for Bank Supervision Policy
and Chief National Bank Examiner

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