Interest Rate Risk Management

Guideline B-12 Interest Rate Risk Management incorporates most of the Basel Committee on Banking Supervision's 2016 guidance on Interest Rate Risk in the Banking Book (IRRBB), including the methods expected to be used by institutions for measuring, managing and monitoring IRRBB, as well as updates related to supervisory practices. The revised guideline will apply to domestic systemically important banks as of January 1, 2020 and January 1, 2021 for all other deposit-taking institutions.