OCC’s ‘Interest Rate Risk’ booklet for bank examiners updated

A revised bank examiners booklet on interest-rate risk was released Thursday by the Office of the Comptroller of the Currency (OCC) and replaces the one of the same name issued in June 1997.

The “Interest Rate Risk” booklet of the Comptroller’s Handbook incorporates and reflects applicable statutes and regulations, guidance, and examination procedures. It includes information from interagency guidance and OCC issuances published since the booklet was last published.

The revised booklet, it said, expands discussions on model risk and model risk management, including developing, reviewing, and stress testing model assumptions; addresses funds transfer pricing; and includes guidelines for an advanced approaches bank’s identification, measurement, monitoring, and control of interest rate risk in the banking book consistent with the Pillar 2 supervisory approach outlined in the Basel Committee on Banking Supervision’s Interest Rate Risk in the Banking Book from April 2016.

The OCC noted in a bulletin that content regarding those 2016 guidelines on interest-rate risk, as well as the Basel Committee’s Principles for the Management and Supervision of Interest Rate Risk from July 2004, only pertains to banks with $250 billion or more in total consolidated assets or $10 billion or more in on-balance-sheet foreign exposure.

OCC Bulletin 2020-26