I'm starting an Audit for the bank's Interest Rate Risk Management function. Does anyone know whether there is any new information since the FIL's 6-26-96 issuance of its Joint Agency Policy Statement on Interest Rate Risk, and the FDIC's Manual of Exam Policies, Section 7.1 - Market Risk, last updated 4-11-00 that can help?

Any suggestions for concentrating on the most riskiest areas of such a review. Intitial plan is to spend 40 hours.

Thanks.

The Department of the Treasury, Office of the Comptroller of the Currency, Federal Deposit Insurance Corporation and the Board of Governors of the Federal Reserve System Joint Agency Policy Statement: Interest Rate Risk dated June 26, 1996 continues to be the source document that I use to assess IRR on an annual basis. Our primary examiner, FDIC, is happy (as happy as they get) with the resulting review, so we are not planning to add anything new this year. On the other hand, this is a small bank environment, low-risk factors, and you may not be in the same position.