Interest-rate risk statistics for national banks during the two-year period of September 2020 to last month were published Monday by the regulator of national banks.
According to the Office of the Comptroller of the Currency (OCC), its semiannual Interest Rate Risk Statistics Report presents interest-rate risk (IRR) data gathered during examinations of OCC-supervised midsize and community banks and federal savings associations (FSA). “The OCC’s supervisory process includes a review of bank-reported IRR data, including exposures, risk limits, and non-maturity deposit (NMD) assumptions,” the agency said.
The agency said it compiles these data and breaks them down into statistics for different populations of banks and publishes semiannually to establish the range of exposures and risk limits across midsize and community banks.
The report, the agency said, provides statistics for different bank populations. The OCC calculated exposures and risk limits for the most modeled target accounts in different interest rate stress scenarios, it said, and also calculated key non-maturity deposit (NMD) assumptions for different NMD types.
The report provides tables with statistics on:
- projected changes in 12-month net interest income (NII) in parallel interest rate shock scenarios ranging from –100 basis points to +400 basis points;
- projected changes in economic value of equity (EVE) in parallel interest rate shock scenarios ranging from –100 basis points to +400 basis points;
- banks’ policy limits for changes in NII and EVE in parallel interest rate shock scenarios ranging from –100 basis points to +400 basis points;
- NMD repricing rates and average lives for different account types.
This report also provides tables with statistics for different bank populations, including:
- all OCC-supervised midsize and community banks with reported data;
- midsize and community banks of the following asset size groups:
- − Less than $100 million
- − $100 million to less than $250 million
- − $250 million to less than $500 million
- − $500 million to less than $1 billion
- − $1 billion to less than $10 billion
- − Over $10 billion
- banks with different charter types, that is, national banks or FSAs (stock and mutual);
- minority depository institutions.
The statistics in the report are based on data from 922 banks, the agency said.