I reviewed the FDIC's Supervisory Policy Statement on Investments, and I am not seeing where this audit is required to be conducted annually. Am I missing something? Thanks!

You might be thinking of the guidance on interest rate risk. It recommends that the Bank's IRR model be validated and backtested. In early 2010, there was a FIL that reiterated this.

Thanks for your help! I do have ALCO audited annually, but I think it's more of a recommendation for Investments to be audited annually - based on securities holdings and transactions. Again - thanks for oyur guidance, transplant!