The resultant change to the bank's economic value for an increase or decrease in rates will be one criterion used in evaluating a bank's exposure to interest rate risk. As mentioned above, this information will be used to establish an explicit supervisory threshold above which additional capital would be required. During the transitional period before this second rulemaking process is initiated, the banking agencies will work with the industry to determine what, if any, further modifications to the proposed measurement process are warranted. Opinion The interest rate risk measurement proposal still contains flaws. The proposal seeks to measure a bank's exposure to interest rate risk on an individual basis rather than on a consolidated basis.
Most bank holding companies manage their exposure to interest rate risk on a consolidated basis.
Further, the banks that are most likely to be stand-alone institutions are also those banks that are most likely to be exempt from the additional reporting requirements necessary for analysis. In fact, some Fourth District institutions with a history of significant levels of interest rate risk would be exempt from the reporting requirements based on the maturity and asset size criteria. Until the asset size exemption is eliminated and additional information pertaining to the measurement of interest rate risk is required on the FR Y-9C, both problems will continue to exist.