Bank interest rate risk management program.

CFR · 2024-01-01 · US · Title 12

(a) The board of directors of each Farm Credit bank must develop, implement, and effectively oversee an interest rate risk management program tailored to the needs of the institution. The program must establish a risk management process that effectively identifies, measures, monitors, and controls interest rate risk. The board of directors of each Farm Credit bank must be knowledgeable of the nature and level of interest rate risk taken by the institution. (b) Senior management is responsible for ensuring that interest rate risk is properly managed on both a long-range and a day-to-day basis. (c) The board of directors of each Farm Credit bank must adopt an interest rate risk management section of an asset/liability management policy that establishes interest rate risk exposure limits as well as the criteria to determine compliance with these limits. At a minimum, the interest rate risk management section must establish policies and procedures for the bank to: (1) Address the purpose and objectives of interest rate risk management; (2) Identify and analyze the causes of risks within its existing balance sheet structure; (3) Measure the potential effect of these risks on projected earnings and market values by conducting interest rate shock tests and simulations of multiple economic scenarios at least on a quarterly basis and by considering the effect of investments on interest rate risk based on the results of the stress testing required under § 615.5133(h)(4); (4) Describe a

official document · source cfr-2024 · id 12:§ 615.5180