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Interest Rate Risk Resources

 



 

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Interest Rate Risk Videos

 

New!!! Interest Rate Risk Video (2014)

NCUA Economic Update (2013)

JohnWorth-ico.pngChief Economist John Worth explores impact of an improving economy and changing interest rate environment on credit union performance.
         

NCUA Rules and Regulations

 

Final Rule, Parts 703, 715 and 741, Financial Derivative Transactions to Mitigate Interest Rate Risk

Certain well-managed federal credit unions have another tool to mitigate interest rate risk with the Board’s approval of the final rule on investing in derivatives. The final rule would allow federal credit unions with assets of at least $250 million and a composite CAMEL rating of 1, 2, or 3 to apply to use certain derivatives.

Part 741 of NCUA’s Rules and Regulations, Interest Rate Risk Policy and Program

NCUA tailored interest rate rule (IRR) applies to credit unions at most risk for interest rate shocks. The final rule will not apply to credit unions with less than $50 million in assets. FICUs with assets more than $50 million must comply with the new IRR rule.

Letters to Credit Unions

 

Supervisory Focus for 2014

Summarizes the agency’s 2014 supervisory focus in areas like cybersecurity, interest rate risk, money services businesses and private lending.

Interest Rate Risk Policy and Program Requirements

Notifies credit unions of NCUA’s Interest Rate Risk Rule and distributes the Interest Rate Risk questionnaire used during examinations and supervision contacts.

Interest Rate Risk Policy and Program Frequently Asked Questions

Outlines the procedures examiners will follow to evaluate interest rate risk.

Real Estate Concentrations and Interest Rate Risk Management for Credit Unions with Large Positions in Fixed-Rate Mortgage Portfolios

Letter addresses prudent balance sheet risk management.

Letter to Credit Unions 03-CU-11, Non-Maturity Shares and Balance Sheet Risk

Letter to Credit Unions 99-CU-12 Real Estate Lending and Balance Sheet Risk Management

 

  
 
 

Interest Rate Charts

 

Net Long-Term Assets in Credit Union System

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This graph decomposes net long-term assets (NLTA) into its primary components: real estate mortgages less loans maturing/re-pricing within the next 5 years, 3+ year investments, member business loans (MBLs), land and buildings, NCUSIF capitalization deposit, and other fixed assets.

Investments in Credit Union System

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The graph shows the changing composition of short-term and long-term investments. It shows the share of investments with less than 3 years maturity shaded in red and the share of 3+ year investments shaded in blue. Prior to the last rate cycle, 85% of investments were < 3 years. Currently, only about half of credit union investments are in less than 3 year investments.

Long-Term Investments in Credit Union System

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This graph shows the rising trend in 3+ year investments at credit unions as a share of system assets.

Total Unrealized Gains/Losses in Credit Union System

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Unrealized Gains/Losses on Available-for-Sale (AFS) and Held-to-Maturity (HTM) investments and is calculated from the NCUA Call Report. (Account 801 - Account 796e + Account 945)

Additional Resources

 

Advisory on Interest Rate Risk Management

FFIEC advisory to remind institutions of supervisory expectations regarding sound practices for managing interest rate risk.

Frequently Asked Questions: Interagency Advisory on Interest Rate Risk Management

FFIEC advisory reiterates the need for sound management of interest rate risk (IRR) and highlights sound practice.

Principles for the Management and Supervision of Interest Rate Risk

Principles for the management of interest rate risk

OCC Comptroller’s Handbook on Interest Rate Risk

FDIC Risk Management Manual of Examination Policies – Section 7.1 Sensitivity to Market Risk