Principles for the Management and Supervision of Interest Rate Risk

Note: This document has been superseded by the final version of Principles for the Management and Supervision of Interest Rate Risk in July 2004.

The consultative paper 'Principles for the Management and Supervision of Interest Rate Risk' was originally published as a supporting document to the Second Consultative Paper on the New Basel Capital Accord in January 2001. The Basel Committee on Banking Supervision (the Committee) is grateful for the many insightful comments received from institutions, industry associations, supervisory authorities, and others which have contributed to the revised version of this paper.

Due to the important issues addressed in the paper, the Committee has decided to release a revised version for a second, short period of consultation before finalisation. The Committee would therefore welcome comments on the revised principles for the management and supervision of interest rate risk outlined in the paper.

These comments should be submitted to relevant national supervisory authorities and central banks and may also be sent to the Secretariat of the Basel Committee on Banking Supervision at the Bank for International Settlements, CH-4002 Basel, Switzerland by 31 October 2003. Comments may be submitted via e-mail to: bcbs.capital@bis.org or by fax: + 41 61 280 9100.