MEASUREMENT OF BANKS' EXPOSURE TO INTEREST RATE RISK Consultative proposal by the Basle Committee on Banking Supervision Basle April 1993Introduction Section I Section II Section TIL Section IV Section V Annex 1 Annex 2 Annex 3 CONTENTS Background Measurement concepts Measurement issues A. Slotting items into the appropriate maturity band (a) Amortising items (b) Uncertain reset date (c) Uncertain maturity (a) Derivatives B. Weighting and offsetting (a) Open position weights (>) Offsetting within and across time-bands C. Integrating different reporting forms (a) Interest rate risk in different currencies (b) Treatment of positions in different affiliates Development of a reporting framework (a) Amortising items (b) Divergent contractual and behavioural maturities (c) Non-interest-rate sensitive items (4) Derivatives (e) Trading book items Consultation Weights for interest rate risk in the market risk proposals Horizontal offsetting of debt securities in the market risk proposals Glossary Page 13. 13 13 14 14 4s 16 16 18 1s 20 2a 22 22 22 23 23 24 25 30 a1 32