BCBS 108

From Open Risk Manual


BCBS 108 is a document published by the Basel Committee on Banking Supervision on July 2004 in the Supervision category.


Principles for the Management and Supervision of Interest Rate Risk.


As part of its ongoing efforts to address international bank supervisory issues, the Basel Committee on Banking Supervision (the Committee) issued a paper on principles for the management of interest rate risk in September 1997. In developing these principles, the Committee drew on supervisory guidance in member countries, on the comments of the banking industry on the Committee's earlier paper, issued for consultation in April 1993 , and on comments received on the draft paper issued for consultation. In addition, the paper incorporated many of the principles contained in the guidance issued by the Committee for derivatives activities, which are reflected in the qualitative parameters for model users in the capital standards for market risk (Market Risk Amendment).

This revised version of the 1997 paper was released for public consultation in January 2001 and September 2003 , and is being issued to support the Pillar 2 approach to interest rate risk in the banking book in the new capital framework. The revision is reflected especially in the Summary, in Principles 12 to 15, and in Annexes 3 and 4.

Document Profile

See Also


For definitive information on regulatory matters always consult primary sources, especially where it concerns legally binding rules and regulations.

The above regulatory document abstract is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all internet users. There is no explicit or implicit endorsement of this web service by the Bank of International Settlements. The copyright of the included material rests with the original authors (Links to the original texts are duly provided).