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Board of Governors of the Federal Reserve System

Supervision and Regulation Letters

SR 12-2

Questions and Answers on Interagency Advisory on Interest Rate Risk Management

January 13, 2012

Seal of the Board of Governors of the Federal Reserve System
BOARD OF GOVERNORS
OF THE
FEDERAL RESERVE SYSTEM
WASHINGTON, D. C.  20551
DIVISION OF BANKING
SUPERVISION AND REGULATION
SR 12-2
January 13, 2012
TO THE OFFICER IN CHARGE OF SUPERVISION AT EACH FEDERAL RESERVE BANK AND TO BANKING ORGANIZATIONS SUPERVISED BY THE FEDERAL RESERVE
SUBJECT:   Questions and Answers on Interagency Advisory on Interest Rate Risk Management
Applicability to Community Banking Organizations:  This letter applies to all state member banks, bank holding companies, savings and loan holding companies, and U.S. offices of foreign banking organizations, including those with $10 billion or less in consolidated assets.  In particular, the attached frequently asked questions document is being issued in response to questions received from community banks and should aid these institutions in managing their interest rate risk.

On January 11, 2010, the Federal Reserve and the other financial regulators1 published an Advisory on Interest Rate Risk Management (SR letter 10-1, "Interagency Advisory on Interest Rate Risk").  Since its release, examiners and the industry have requested clarification of some specific recommendations in the advisory.  In response to these questions, the financial regulators jointly developed the attached frequently asked questions (FAQs) document that provides interpretive guidance on some of these issues. 

The advisory, as well as these FAQs, are intended for use by banking organizations and supervisors as they assess organizations' management of interest rate risk.  While the questions and answers are applicable to all institutions, many of these questions originated from community banking organizations.  This guidance should be applied, as appropriate, to all banking organizations supervised by the Federal Reserve, taking into account each organization's size, nature, and balance sheet complexity. 

This letter and the attached FAQs should be distributed to state member banks, bank holding companies, savings and loan holding companies, and foreign banking organizations with U.S. offices supervised by the Federal Reserve, as well as to supervisory and examination staff.  For questions regarding this guidance, please contact Mary Aiken, Manager, Market, Liquidity, Credit, and Other Risk Policy, at (202) 721-4534; or Ricardo Crumble, Senior Supervisory Financial Analyst, Risk, at (202) 728-5852.  In addition, questions may be sent via the Board's public website.2

signed by
Michael S. Gibson
Director
Division of Banking
Supervision and Regulation


Cross References:
 
Notes:
  1. The Board of Governors of the Federal Reserve System, Federal Deposit Insurance Corporation, National Credit Union Administration, Office of the Comptroller of the Currency, and Federal Financial Institutions Examination Council (FFIEC) State Liaison Committee. Return to text
  2. See http://www.federalreserve.gov/apps/contactus/feedback.aspxReturn to text
Last update: September 5, 2014