Interest Rate Risk Management

OSFI is issuing proposed revisions to guideline B-12 Interest Rate Risk Management. The draft guideline 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. OSFI is targeting implementation of the revised guideline for January 1, 2020. Comments on the guideline should be provided no later than November 19, 2018.