12 C.F.R. § 615.5135 Management of interest rate risk.
Title 12 - Banks and Banking
The board of directors of each Farm Credit Bank, bank for cooperatives, and agricultural credit bank shall develop and implement an interest rate risk management program as set forth in subpart G of this part. The board of directors shall adopt an interest rate risk management section of an asset/liability management policy which establishes interest rate risk exposure limits as well as the criteria to determine compliance with these limits. At a minimum, the interest rate risk management section shall establish policies and procedures for the bank to: (a) Identify and analyze the causes of risks within its existing balance sheet structure; (b) Measure the potential impact of these risks on projected earnings and market values by conducting interest rate shock tests and simulations of multiple economic scenarios at least on a quarterly basis; (c) Explore and implement actions needed to obtain its desired risk management objectives; (d) Document the objectives that the bank is attempting to achieve by purchasing eligible investments that are authorized by §615.5140 of this subpart; (e) Evaluate and document, at least quarterly, whether these investments have actually met the objectives stated under paragraph (d) of this section. [58 FR 63056, Nov. 30, 1993, as amended at 63 FR 39225, July 22, 1998]
Title 12: Banks and Banking
PART 615—FUNDING AND FISCAL AFFAIRS, LOAN POLICIES AND OPERATIONS, AND FUNDING OPERATIONS
Subpart E—Investment Management
§ 615.5135 Management of interest rate risk.
