Interest Rate Risk Management Survey

Research Objectives

The Risk Management Association has surveyed financial service institutions to determine the range of practices and standards currently used with regard to interest rate risk management. In addition to providing benchmark data on current practice, the survey illuminates industry and regulatory trends the respondents think are likely to shape interest rate management over the next few years. The survey also includes sections for comments to describe the remit and structure of interest rate management within the institution as well as the methodology behind modeling assumption calculations with respect to Net Interest Income-at-risk and Economic Value of Equity-at-risk. Additionally, firms had the opportunity to comment on rate expectations at the end of 2015 as well as the end of 2016, their ALCO's understanding and oversight of interest rate risks, and the firm's use of derivatives as a hedge against interest rate risk exposure.

Specific Objectives

The survey report contains results and commentary on the following areas:

  • General characteristics of participating institutions.
  • Organizational structure and governance.
  • Current/recent interest rate risk circumstances in the institution.
  • Risk measurement.
  • Use of derivatives.

Deliverables

The final report was issued in July 2015, to survey participants only. This comprehensive report contains detailed findings in its 140 pages for financial institutions based in the United States. It visibly describes the organizational structures, tools, and decision processes used to determine leading practices. You may view a synopsis of the 2015 RMA Interest Rate Risk Management Survey (PDF) by clicking on the aforementioned link. To purchase the complete survey, please contact Rosemarie Casler, 215-446-4081 or rcasler@rmahq.org. The cost of the report is $995 for an RMA member and $1,500 for a nonmember. Institutions interested in participating in future market risk studies should contact Paul Guinan, Manager, Market Risk and Securities Lending at 215-446-4003 or at pguinan@rmahq.org or Fran Garritt, Director, Market Risk and Securities Lending at 215-446-4122 or at fgarritt@rmahq.org.

Participating Institutions

Amalgamated Bank

First Savings Bank Northwest

Premier Community Bank

Bank of San Francisco

First United Bank & Trust

Principal Bank

Bank of the Cascades

Fresno First Bank

Royal Business Bank

BBVA Compass

Jefferson Bank

Skagit Bank

Bridgehampton National Bank

KeyBank

Summit Bank

Broadway Federal Bank

Liberty Bay Bank

The American National Bank of Texas

California Bank of Commerce

New Resource Bank

The Jacksonville Bank

CapStar Bank

North American Savings

Town & Country Bank

Citizens State Bank

Northwest Business Development Association

UCBI

CoBank

Oriental Bank

Union Bank

CoBiz Financial

Pacific City Bank

Uniti Bank

Commercial Bank of California

Pacific Mercantile Bank

US Metro Bank

Community Commerce Bank

Park Sterling Bank

 

First Horizon National Corporation

Peoples Bank