Featured Product

    OSFI Proposes Updates to Guideline on Management of Interest Rate Risk

    October 05, 2018

    OSFI proposed revisions to guideline B-12 on interest rate risk management for banking sector in Canada. The guideline, which was last issued in 2005, provides a risk control framework for managing interest rate risk to prudent level for banks, bank holding companies, federally regulated trust and loan companies, and cooperative retail associations. Comments are due by November 19,2018. OSFI is targeting implementation of the revised guideline for January 01, 2020.

    The proposed revisions focus on the following:

    • Additional guidance for an IRRBB governance process of an institution
    • Descriptions of expectations of OSFI regarding IRRBB measurement, the development of stress and shock scenarios, and key behavioral and modeling assumptions institutions should consider
    • The introduction of an outlier/materiality test that compares the maximum loss of an institution to its capital base under various prescribed scenarios

    The draft guideline endorses the guidance issued in 2004 by BCBS through the “Principles for the Management and Supervision of Interest Rate Risk.” BCBS had also published revisions to the framework for Interest Rate Risk in the Banking Book (IRRBB) in April 2016, with the revised framework expected to be implemented by 2018The draft guideline of OSFI incorporates most of the BCBS guidance to reflect changes in the market and the methods expected to be used by institutions for measuring, managing, and monitoring IRRBB, along with the updates related to supervisory practices. 


    Related Links

    Comment Due Date: November 19, 2018

    Effective Date: January 01, 2020 (Expected)


    Keywords: Americas, Canada, Banking, IRRBB, Interest Rate Risk, Basel III, Guideline B-12, OSFI

    Featured Experts
    Related Articles

    PRA to Elaborate on Approach to Transposition of CRD5 by Mid-December

    PRA published a statement that explains when to expect further information on the PRA approach to transposing the Capital Requirements Directive (CRD5), including its approach to revisions to the definition of capital for Pillar 2A.

    November 30, 2020 WebPage Regulatory News

    EIOPA Consults on KPIs on Sustainability for Non-Financial Reporting

    EIOPA is consulting on the relevant ratios to be mandatorily disclosed by insurers and reinsurers falling within the scope of the Non-Financial Reporting Directive as well as on the methodologies to build these ratios.

    November 30, 2020 WebPage Regulatory News

    SRB Sets Out Work Program for 2021-2023

    SRB published the work program for 2021-2023, setting out a roadmap to further operationalize the Single Resolution Fund and to achieve robust resolvability of banks under its remit over the next three years.

    November 30, 2020 WebPage Regulatory News

    ECB Publishes Guide on Management of Climate and Environmental Risks

    ECB finalized guidance on the way it expects banks to prudently manage and transparently disclose climate and other environmental risks under the current prudential rules.

    November 27, 2020 WebPage Regulatory News

    BCBS Amends Capital Treatment of Non-Performing Loan Securitizations

    BCBS published a technical amendment to the capital treatment of securitizations of non-performing loans by banks.

    November 26, 2020 WebPage Regulatory News

    BoE to Move Statistical Data Collection to BEEDs Portal

    BoE announced that the Data and Statistics Division is planning to move collection of statistical data to the BoE Electronic Data Submission (BEEDS) portal.

    November 25, 2020 WebPage Regulatory News

    APRA Updates Reporting Standards and Guidance for EFS Data Collection

    APRA published the updated reporting standards and guidance for the collection of Economic and Financial Statistics (EFS), following a consultation process. Also published was a response letter to the feedback received on the proposal for amending the EFS reporting standards and guidance.

    November 24, 2020 WebPage Regulatory News

    EC Consults on Criteria for Environmentally Sustainable Activities

    EC is consulting on a draft delegated regulation to supplement the Taxonomy Regulation (2020/852) by establishing the technical screening criteria for determining the conditions under which an economic activity qualifies as environmentally sustainable.

    November 20, 2020 WebPage Regulatory News

    IFRS Examines Incorporation of Climate Risk Issues into IFRS Standards

    The IFRS Foundation published material highlighting the ways in which existing requirements in IFRS standards require companies to consider climate-related matters when their effect is material to the financial statements.

    November 20, 2020 WebPage Regulatory News

    FSB Report Outlines Progress on Interest Rate Benchmark Reform

    FSB published a progress report on the implementation of reforms to major interest rate benchmarks, including the London Inter-bank Offered Rate (LIBOR) benchmark.

    November 20, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 6167