Interest rate risk (IRR) data gathered during examinations of midsize and community banks and federal savings associations (FSA) by the national bank regulator was published Thursday by the agency.
The report, the Office of the Comptroller of the Currency’s (OCC) Interest Rate Risk Statistics Report, is published semiannually.
The OCC said its supervisory process includes a review of bank-reported IRR data, including exposures, risk limits, and non-maturity deposit (NMD) assumptions. The data are compiled and broken 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 agency said.
The statistics do not represent OCC-suggested limits or exposures, the agency said.
“This report provides statistics for different bank populations,” the agency said. “The OCC calculated exposures and risk limits for the most commonly modeled target accounts in different interest rate stress scenarios. The OCC also calculated key NMD assumptions for different NMD types.”
Key statistics contained in the report include:
- Projected changes in 12-month net interest income (NII) in parallel interest rate shock scenarios ranging from -200 basis points to +400 basis points.
- Projected changes in economic value of equity (EVE) in parallel interest rate shock scenarios ranging from -200 basis points to +400 basis points.
- Banks’ policy limits for changes in NII and EVE in parallel interest rate shock scenarios ranging from -200 basis points to +400 basis points.
- NMD repricing rates and average lives for different account types.
Interest Rate Risk: Interest Rate Risk Statistics Report (OCC Bulletin 2024-10)