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Directors' Resource Center
Technical Assistance Video Program


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Interest Rate Risk

This video series on interest rate risk was developed by FDIC staff for use by community bank management and individuals that are involved in the interest rate risk management function, including asset liability management committee members.

  1. Overview & Recent Industry Trends (9:20)
  2. Types of Interest Rate Risk (11:11)
  3. Measurement Systems (11:37)
  4. Rate Changes and Prepayment Assumptions (9:29)
  5. Deposit Assumptions (8:15)
  6. Risk Limits and Mitigation (8:08)
  7. Internal Control and Review (6:56)
  8. Review and Additional Resources (4:34)

I. Overview & Recent Industry Trends
The first video in this series provides a general overview of the interest rate risk management process and recent industry trends.

Approximate run time: 9:20

Link to YouTube Video

Presentation Materials - PDF


II. Types of Interest Rate Risk
The second video in this series discusses the types of interest rate risk financial institutions are exposed to, including repricing risk, yield curve risk, option risk, and basis risk. 

Approximate run time: 11:11

Link to YouTube Video

Presentation Materials - PDF


III. Measurement Systems
The third video in this series discusses the various types of systems or models used to measure interest rate risk exposure, including gap, income simulation, extended income simulation, and economic value of equity models.  The video also outlines a typical modeling process. 

Approximate run time: 11:37

Link to YouTube Video

Presentation Materials - PDF


IV. Rate Changes and Prepayment Assumptions
The fourth video in this series discusses management responsibilities regarding interest rate risk model assumptions and discusses rate change and prepayment assumptions. 

Approximate run time: 9:29

Link to YouTube Video

Presentation Materials - PDF


V. Deposit Assumptions
The fifth video in this series discusses deposit customer behavior and non-maturity deposit assumptions, which can be the most influential, and challenging, assumptions to develop when modeling interest rate risk.

Approximate run time: 8:15

Link to YouTube Video

Presentation Materials - PDF


VI. Risk Limits and Mitigation
The sixth video in this series discusses the importance of risk limits and mitigation strategies, and how these tools can be used to manage the bank's interest rate risk position.

Approximate run time: 8:08

Link to YouTube Video

Presentation Materials - PDF


VII. Internal Control and Review
The seventh video in this series discusses management's responsibilities in maintaining an adequate system of internal controls, including an independent review and validation function.

Approximate run time: 6:56

Link to YouTube Video

Presentation Materials - PDF


VIII. Review and Additional Resources
The eighth and final video in this series provides a general overview of the preceding videos, the interest rate risk management process, and outstanding regulatory guidance.  Also provided is a list of additional resources.

Approximate run time: 4:34


Link to YouTube Video

Presentation Materials - PDF



Last Updated 12/04/2013 supervision@fdic.gov