Interest Rate Risk Management. (1) Within ninety (90) days of the date of this Agreement, the Bank shall submit to the Assistant Deputy Comptroller for review and prior written determination of no supervisory objection an acceptable written Interest Rate Risk Management Program (“IRR Program”). Refer to the “Interest Rate Risk,” booklet of the Comptroller’s Handbook; OCC Bulletin 2010-1, “Interagency Advisory on Interest Rate Risk Management,” (Jan. 2010); OCC Bulletin 2012-5, “Interest Rate Risk Management: FAQs on 2010 Interagency Advisory on Interest Rate Risk Management,” (Jan. 2012); and “Model Risk Management,” booklet of the Comptroller’s Handbook.
(2) The IRR Program shall include risk management systems to identify, measure, monitor, and control interest rate risk (“IRR”), to include at a minimum:
(a) the establishment of formal policies, procedures, and governance commensurate with the Bank’s complexity and business activities, to include:
(i) the establishment of IRR appetite and risk management objectives with specific approved and prohibited strategies for managing IRR;
(ii) determinations of how the Bank will measure the quality of IRR management; and
(iii) procedures to monitor, escalate, and address any breaches of established IRR limits;
(b) accurate and timely risk identification which identify and quantify the major sources and types of IRR;
(c) the establishment of risk monitoring processes to provide sufficient information on which to base sound IRR management decisions from both an earnings and economic perspective with recognition and consideration of all risks (repricing, basis, yield-curve, and options), to include:
(i) limits or triggers on IRR exposures that consider the Bank’s risk appetite, complexity of operations, earnings performance, liquidity position, and capital adequacy; and
(ii) IRR reporting standards and procedures that specify the frequency and types of reports senior management and the Board will use to monitor the Bank’s IRR that address:
a. the level and trends of aggregate Bank IRR exposure;
b. whether management’s strategies are within the Bank’s established risk appetite and policy;
c. the sensitivity of any key assumptions;
d. whether the Bank holds sufficient capital for its level of IRR; and
e. whether management’s major interest rate strategies balance risk with reward, including at a minimum, an evaluation of a potential adverse rate movement against the potential rewards of a favorable rate movement;
(d) requirements for retention of ...
Interest Rate Risk Management. Within 60 days of this Agreement, the Bank shall submit to the Reserve Bank and the Division an acceptable written plan to improve interest rate risk management practices. The plan shall, at a minimum, address the following parameters:
Interest Rate Risk Management. The Borrower agrees that, upon the occurrence of any Hedging Event, it will enter into an Acceptable Derivatives Agreement in consultation with the Agent no later than the last day of the Required Time Period, using funds available under clause (y) of clause fifth of Section 2.07(c)(i), (ii) or (iii), as applicable. The Borrower will, to the extent required by any Committed Lender, amend any Acceptable Derivatives Agreement which is then in effect at any time when there is (i) any increase in the outstanding principal amount of the Loans or (ii) any change in the contractual payment schedule of the Loans, so that such Acceptable Derivatives Agreement, as amended, would comply with the definition of “Acceptable Derivatives Agreement” if first entered into on the date of such amendment. Amounts received by the Borrower under any Acceptable Derivatives Agreement shall be deposited into the Collection Account and applied as set forth in Section 2.07(c).
Interest Rate Risk Management. All interest rate swaps, caps, floors and option agreements and other interest rate risk management arrangements, whether entered into the account of Wachovia or one of its Subsidiaries or for the account of a customer of Wachovia or one of its subsidiaries, were entered into in the ordinary course of business and in accordance with prudent banking practice and applicable rules, regulations and policies of Regulatory Authorities and with counterparties believed by Wachovia to be financially responsible at the time and are legal, valid and binding obligations of Wachovia or one of its subsidiaries enforceable in accordance with their terms (except as may be limited by bankruptcy, insolvency, moratorium, reorganization or similar laws affecting the rights of creditors generally and the availability of equitable remedies), and are in full force and effect. Wachovia and each of its subsidiaries have duly performed in all material respects all of their obligations thereunder to the extent that such obligations to perform have accrued; and there are no material breaches, violations or defaults or allegations or assertions of such by any party thereunder.
Interest Rate Risk Management. Borrowers shall purchase and maintain in full force and effect during the term of this Agreement, effective on or before thirty (30) days following the Closing Date, an interest rate swap, interest rate cap, interest rate collar or similar arrangement designed to protect Borrowers against the effect of fluctuations in the Interest Rate, such arrangement and related agreements to be in form and substance reasonably acceptable to Agent.
Interest Rate Risk Management. Within ninety (90) days, the Association shall revise its policies and procedures governing the Association’s interest rate risk (IRR) management (IRR Policy) to ensure that it is acceptable to the Regional Director and addresses all corrective actions in the 2010 XXX related to IRR. The Association’s IRR Policy shall comply with all applicable laws, regulations and regulatory guidance.
Interest Rate Risk Management. (a) On the Closing Date, the Borrower will enter into, and maintain until the earlier of (i) the Expected Maturity Date or (ii) the Termination Date, one or more Derivatives Agreements with an aggregate notional balance equal to or exceeding ninety percent (90%) (but not for any period in excess of 30 consecutive days, more than 110%) of the then Scheduled Targeted Principal Balance. On the Expected Maturity Date (unless the Termination Date has occurred), at the request of the Agent, the Borrower will enter into, and maintain until the Termination Date, one or more Derivatives Agreements with an aggregate notional balance equal to or exceeding ninety percent (90%) (but not for any period in excess of 30 consecutive days, more than 110%) of the then outstanding principal amount of the Loans. Such Derivative Agreements shall provide that notional balances may be adjusted downward from time to time to reflect any prepayments of the Loans.
(b) If the Borrower, or the Servicer, on behalf of the Borrower, fails to comply with Section 2.13(a), the Required Lenders shall have the right, in their sole discretion and at the expense of the Borrower if necessary (as determined in the sole discretion of the Required Lenders), to direct the Agent to enter into or maintain one or more Derivatives Agreements selected by the Required Lenders (in their sole discretion) on behalf of the Borrower such that, after giving effect to such action, the Borrower will be in compliance with Section 2.13(a). In the event the Required Lenders determine to direct the Agent to enter into or maintain a Derivatives Agreement on the Borrower’s behalf, the Required Lenders shall promptly send a copy of any such agreement to the Borrower. Reasonable costs and expenses of the Required Lenders related to the entry into and maintenance of Derivatives Agreements shall be paid by the Borrower.
(c) If, at any time while the Loans or other obligations under the Transaction Documents remain unpaid, a Derivatives Creditor ceases to be an Eligible Derivatives Creditor, the Borrower shall within sixty (60) days after it obtains Knowledge of such event, either (i) replace the non-conforming Derivatives Creditor with an Eligible Derivatives Creditor or (ii) require the non-conforming Derivatives Creditor to deliver a letter of credit or provide alternative credit support in order to support its obligations under the Derivatives Agreement, as the Borrower and such non-conforming Derivatives Creditor may ag...
Interest Rate Risk Management. (1) Within ninety (90) days of the date of this Agreement, the Board must ensure Bank management documents, monitors, and updates key assumptions used in the Bank’s Interest Rate Risk Model (“IRR Model”) that comport with 12 C.F.R. § 163.176 and are consistent with the “Interest Rate Risk” booklet of the Comptroller’s Handbook; Interagency Guidance on Interest Rate Risk Management, OCC Bulletin 2010-1; and Interest Rate Risk Management: FAQs on 2010 Interagency Advisory on Interest Rate Risk Management, OCC Bulletin 2012-5. At a minimum:
(a) management must evaluate key IRR Model assumptions related to asset prepayments, non-maturity deposit price sensitivity and decay rates, and key rate drivers for each interest rate shock scenario at least annually;
(b) management must provide the Board, or a designated committee thereof, with documentation supporting their validation of the reasonableness of assumptions used in the model and shall notify the Board, or the committee designated thereof, within thirty (30) days of any changes to the IRR Model assumptions; and
(c) the Board shall establish risk tolerances for variances in back-testing variances results, and Bank operation outside of risk limits must result in additional review of the IRR Model assumptions and key drivers.
(d) an annual, independent review of the reasonableness of the IRR Model assumptions used must be performed.
(2) The Board shall engage an independent review and validation of the IRR Model, including the reasonableness of its assumptions, performance of a backtest, and an assessment of the Bank’s adherence to the interest rate risk policy, on at least an annual basis.
(3) The Board shall ensure that the Bank has processes, personnel, and control systems to ensure implementation of and adherence to the policy developed pursuant to this Article.
Interest Rate Risk Management. (1) Within ninety (90) days, the Board shall adopt and implement a program to improve the bank’s controls and systems for managing interest rate risk. The program shall provide for a coordinated strategy to manage interest rate risk management and, at a minimum, address:
(a) review of the limits in policy for change in the economic value of equity for changes in market interest rates. The limits should reflect the bank’s ability to assume interest rate risk and ability to adjust the level of risk in an adverse rate environment. Economic value of equity refers to the difference between the present values of the bank’s assets and liabilities, when the cash flows from the assets and liabilities are discounted at current market interest rates. For more information about the concept of economic value of equity, refer to the Comptroller’s Handbook booklet Interest Rate Risk, L-IRR, dated June 1997,
(b) guidelines for the maximum level of assets with maturities beyond five years or which have cash flow characteristics that change in different interest rate environments;
(c) improvements in the bank’s long-term interest rate risk model to allow management and the Board to use models to evaluate the effects of alternative balance sheet strategies and interest rate scenarios on the Bank’s level of long- term interest rate risk;
(d) a review of the Bank’s earnings-at-risk modeling to ensure the model accurately captures repricing for assets and liabilities and basis risk between the rates earned on the Bank’s assets and paid for liabilities.
(2) Upon adoption, a copy of the revised policy shall be forwarded to the Assistant Deputy Comptroller for review.
Interest Rate Risk Management. (1) Within ninety (90) days, the Board shall adopt, implement, and thereafter ensure Bank adherence to a written interest rate risk management plan. In formulating this plan, the Board shall refer to the Interest Rate Risk booklet, L-IRR, of the Comptroller’s Handbook. The plan shall provide for a coordinated interest rate risk strategy and, at a minimum, address:
(a) the establishment of adequate management reports on which to base sound interest rate risk management decisions;
(b) establishment and guidance of the Bank’s strategic direction and tolerance for interest rate risk;
(c) implementation of effective tools to measure and monitor the Bank’s performance and overall interest rate risk profile;
(d) employment of competent personnel to manage interest rate risk;
(e) prudent limits on the nature and amount of interest rate risk that can be taken; and
(f) periodic review of the Bank's adherence to the policy.
(2) Upon adoption, a copy of the written plan shall be forwarded to the Assistant Deputy Comptroller for review.
(3) The Board shall ensure that the Bank has processes, personnel, and control systems to ensure implementation of and adherence to the policy developed pursuant to this Article.
