AuditOne Advisory – Interest Rate Risk: Responding to Rising Regulatory Expectations

AuditOne Advisory

From Bud Genovese, Chairman

Our Co-CEO Jeremy Taylor recently presented to a CFO group in Oregon on the subject of rising regulatory expectations for interest rate risk (IRR) management.  We thought you might find his Powerpoint helpful.  You can find it on our website by clicking here.   Please feel free to forward this informative presentation to any appropriate people in your bank.  And remember, when you need industry leading expertise for internal audit and credit review and the highest level of hands-on technology service, contact the best in the business….AuditOne.  Thank you.  –Bud

Jeremy was able to draw on two very valuable sets of (non-public) data in order to come up with concrete guidance in such critical areas as determination of modeling assumptions and appropriate IRR limits.  First, at AuditOne we have assembled a database of almost 100 of our IRR clients (without client identifiers, of course).  Second, the Risk Management Association (RMA) recently conducted a survey of IRR management practices at community banks which Jeremy helped prepare.  Because there is so little publicly available peer data to assist in IRR measurement and management, I think you will find Jeremy’s presentation particularly useful and timely.  He also has incorporated best-practice and how-to suggestions for things like customizing and validating key model assumptions.  Board/ALCO governance topics also get attention.  Besides these two surveys, Jeremy was able to reflect our ongoing IRR audit experience, Safety & Soundness exam reports, client conversations, and other inside information sources.

I would also draw your attention to an article Jeremy prepared on the RMA survey results that has just appeared in the Oct./15 issue of the RMA Journal.  You’ll find that article on our website.

AuditOne LLC is a risk management firm with sole focus on financial institutions. AuditOne performs many dozens of IRR audits every year, along with audits of other ALM areas like Liquidity, Investments and Capital.  We have highly experienced ALM practitioners on staff.  Please note, too, that many of these audits are done on a completely offsite basis, using our client portal for secure sharing of documents.  For more information, please call one of our Co-CEOs:  Jeremy Taylor Contact Us for the northern half of our client base, or Kevin Watson Contact Us for the southern half. Both may also be reached on our Team & Contact page.