Magazine article American Banker

Regulators Asking for Feedback on Method of Gauging Rate Risk

Magazine article American Banker

Regulators Asking for Feedback on Method of Gauging Rate Risk

Article excerpt

After years of delay and debate, bank regulators have reached a consensus on how to measure banks' interest rate risk.

But they still aren't sure their approach works, so they won't include it in their risk-based capital standards until it has been tested awhile.

Instead, the Federal Deposit Insurance Corp., the Federal Reserve Board, and the Office of the Comptroller of the Currency are amending their risk based capital standards to say simply that examiners must consider interest rate risk.

The three agencies are also going to issue a 202-page "joint agency policy statement" detailing how they propose to gauge interest rate risk and asking for feedback.

At its Tuesday meeting, the FDIC board was the first to take this step. The Federal Reserve Board will consider it at a meeting Friday, and the Comptroller's office is expected to issue its version of the proposals sometime in the next few weeks.

The Office of Thrift Supervision already measures interest rate risk and includes it in the capital standards for the savings institutions it regulates.

Under the joint policy outlined at Tuesday's FDIC meeting, 3,822 of the nation's 10,847 commercial banks and FDIC-supervised savings banks will have to start reporting information next March 31 on the maturity and repricing characteristics of their assets, liabilities, and off-balance sheet positions.

Exempted from the reporting requirement are institutions with assets of under $300 million, a Camel rating of 1 or 2, and a low proportion of long term loans. …

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