Large Bank Supervision Forum 2023

Internal Use Only

Supervisory Program Coverage of IRR

Onsite Reviews Frequency of onsite review will depend on several factors: Robustness of ongoing monitoring Adequacy of modeling processes Degree of interest rate risk exposure Degree of change in balance sheet structure or modeling processes

5

Internal Use Only

Board & Management Responsibilities

Board of Directors Establish Risk Appetite Set Appropriate Risk Limits Effective Risk Management Processes Technical Expertise Effective Challenge of Assumptions Independent Review

Senior Management Clear lines of authority to manage the balance sheet Strong control environment to comply with policy Comprehensive Modeling:

o Wide range of scenarios o Appropriate assumptions and sensitivity analysis

Comprehensive ALCO packages and minutes

6