Regulatory Alerts2019-05-31
Interest Rate Risk Management Guideline (2019)
The Office of the Superintendent of Financial Institutions (OSFI) issued this guideline to establish comprehensive expectations for how federally regulated banks and trust and loan companies identify, measure, monitor, and control interest rate risk in the banking book (IRRBB). Institutions must implement robust governance structures, clear risk appetite statements with appropriate policy limits, and integrated economic value and earnings-based measurement systems that account for gap, basis, option, and credit spread risks. The framework applies on a consolidated basis commensurate with each institution's size and complexity, requiring senior management oversight, independent internal controls, and regular stress testing against prescribed interest rate shock scenarios.