Interest rate risk was originally viewed as a process that should be done in a back room, resulting in volumes of information that was stored on a shelf to be available when examiners walked in. However, the complexity of the world has changed over time and so must the use of tools to help evaluate […]
As promised in last week’s blog post, our draft response to RBC 2.0 can be found here. Our main objective in writing this response is to convince NCUA that it would be dangerous for the industry, regardless of the chosen methodology, to add an interest rate risk (IRR) component to the proposed rule. IRR is […]
Even though the Risk-Based Capital Rule 2.0 (RBC 2.0) has been watered-down, it is not good for the industry. Don’t forget a key component of the RBC 2.0 is NCUA’s consideration of adding a separate interest rate risk (IRR) component to risk-based capital. Standardizing IRR, assumptions, and/or approaches to assumptions, guarantees that the unique risk […]
With the derivatives rule that went into effect in 2014, NCUA gave credit unions access to a new tool to help mitigate interest rate risk. Although a derivatives pilot program has been around since 1998, derivatives are still a relatively new thing to the industry. Past blogs in this series have provided the reader with […]
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COMPARISON OF INTEREST RATE RISK METHODOLOGIES
ALM, Interest Rate Risk Blog PostsInterest rate risk was originally viewed as a process that should be done in a back room, resulting in volumes of information that was stored on a shelf to be available when examiners walked in. However, the complexity of the world has changed over time and so must the use of tools to help evaluate […]
Draft Response to RBC 2.0
Interest Rate Risk Blog PostsAs promised in last week’s blog post, our draft response to RBC 2.0 can be found here. Our main objective in writing this response is to convince NCUA that it would be dangerous for the industry, regardless of the chosen methodology, to add an interest rate risk (IRR) component to the proposed rule. IRR is […]
Risk-Based Capital Rule 2.0
Interest Rate Risk Blog PostsEven though the Risk-Based Capital Rule 2.0 (RBC 2.0) has been watered-down, it is not good for the industry. Don’t forget a key component of the RBC 2.0 is NCUA’s consideration of adding a separate interest rate risk (IRR) component to risk-based capital. Standardizing IRR, assumptions, and/or approaches to assumptions, guarantees that the unique risk […]
Response to NCUA Proposed Risk-Based Capital Rule 2.0
ALM, Interest Rate Risk ArticlesEvaluating Derivatives―Part VI: Why Use Derivatives?
Interest Rate Risk, Investments and Derivatives Blog PostsWith the derivatives rule that went into effect in 2014, NCUA gave credit unions access to a new tool to help mitigate interest rate risk. Although a derivatives pilot program has been around since 1998, derivatives are still a relatively new thing to the industry. Past blogs in this series have provided the reader with […]