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More resources for national banks

Interest Rate Risk

The acceptance and management of financial risk is inherent to the business of banking and banks’ roles as financial intermediaries. To meet the demands of their customers and communities and to execute business strategies, banks make loans, purchase securities, and take deposits with different maturities and interest rates. These activities may leave a bank’s earnings and capital exposed to movements in interest rates. This exposure is interest rate risk.

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Interest Rate Risk (Comptroller's Handbook, 1998)

AL=Advisory Letter
BC=Banking Circular

Interest Rate Risk: Interagency Advisory on Interest Rate Risk Management (OCC 2012-5, January 2012), Interagency Advisory on Interest Rate Risk Management (PDF)
Guidance providing sound risk management practices to manage interest rate risk exposures.

Embedded Options and Long-Term Interest Rate Risk (OCC 2004-29, July 2004)
Guidance covers measuring cash flow and valuation risks for assets and liabilities with embedded options.

Brokered and Rate Sensitive Deposits (AL 2001-5, May 2001)
An overview of the Joint Advisory on Brokered and Rate Sensitive Deposits, which outlines processes to manage risks associated with brokered and other highly rate-sensitive deposits.

Interest Rate Risk (AL 95-1, February 1995)
This advisory letter replaces and supersedes Advisory Letter 90-1, on interest rate risk, dated January 2, 1990.

Purchases of Structured Notes (AL 94-2, July 1994)
Background and description of common structured notes, and OCC’s policy with regard to them.

Risk Management of Financial Derivatives (BC 277, November 1993)
Prudent risk management practices for financial derivatives activities.

Related News and Issuances
Publish DateIdentifierTitle
01/12/2012  OCC 2012-5, Interest Rate Risk Management: FAQs on 2010 Interagency Advisory on Interest Rate Risk Management
04/04/2011  OCC 2011-12, Sound Practices for Model Risk Management: Supervisory Guidance on Model Risk Management
01/08/2010  OCC 2010-1, Interest Rate Risk: Interagency Advisory on Interest Rate Risk Management