Regulatory Alerts2023-06-07
Guideline on Interest Rate Risk in the Banking Book (No. 4230/2023)
The National Bank of Rwanda issued Guideline No. 4230/2023 to mandate standardized capital buffers and reporting frameworks for interest rate risk in the banking book. Banks must conduct regular stress testing using historical and hypothetical scenarios, perform formal model risk assessments, and calculate capital requirements based on projected market value of equity declines. Institutions facing potential equity drops exceeding twenty percent must hold additional capital when supervisors determine their risk levels are high relative to capital adequacy and management quality.
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