Large Bank Examination Workshop February 2026

U.S. Regulatory Guidance • Federal Housing Finance Agency Advisory Bulletins  2006-AB-02 focused on market risk models o Similar to OCC 2000-16  2009-AB-03 explicitly includes credit risk models and also addresses the validation of externally-managed vendor models, internally-managed vendor models, and the importance of validating and documenting the controls over models and their use. o “Model documentation and validation” should be read to include proper testing of related controls on the processes surrounding those models.

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Interagency IRR Policy (Jan ‘10) • Goal: to remind institutions of supervisory expectations regarding sound practices for managing IRR. • Effective risk management processes especially important for institutions under earnings and capital pressure due to lower credit quality and market illiquidity. • Reiterates the importance of model validation for both internally developed as well as vendor-based models • Further emphasizes an expanded view on risk that goes beyond interest rate volatility to assess the impact of liquidity, credit, and other risk factors.

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