Description
Effective September 30, 2012, all credit unions over $50 million and most credit unions over $10 million will be required to adopt a written Interest Rate Risk Policy, as well as a program to implement this policy.
According to the NCUA, the IRR policy is central to safe and sound credit union operations and should identify, measure, monitor, and control interest rate risk (IRR) and convey the credit union’s own practices, metrics, and benchmarks appropriate to its operations.
Major Topics Covered:
- Risk measurement methodologies
- Interest rate risk scenarios – rate shocks, risk components
- Risk parameters
- Risk measurement system
- System maintenance – inputs and assumptions, system capabilities
- Assumption sensitivity analysis
- Risk management strategies
- Assignment of responsibilities
- Reporting
- Independent review and back-testing
