The first of what will be semiannual reports on interest rate risk (IRR) data collected during examinations of banks supervised by the agency’s midsize and community bank supervision department was released Tuesday by the Office of the Comptroller of the Currency (OCC).
The statistics in the fall 2020 report, based on data from 942 OCC-supervised midsize and community banks and federal savings associations, “are for informational purposes only and do not represent OCC-suggested limits or exposures,” the agency said in Bulletin 2020-91.
The report provides statistics on IRR exposures and risk limits for different midsize and community bank populations, the agency said.
The OCC said it calculated exposures and risk limits for the most commonly modeled target accounts in different interest rate stress scenarios; and key non-maturity deposit (NMD) assumptions for different NMD types. The report’s tables with statistics show:
- 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 and decay rates for different account types.
The report also shows information for different bank populations, including:
- all OCC-supervised midsize and community banks with reported data;
- midsize and community banks from six asset-size groups (ranging from less than $100 million to more than $10 billion);
- banks with different charter types, that is, national banks or FSAs (stock and mutual);
- minority depository institutions.
The as-of date of the data ranges from Dec. 31, 2018, to June 30, 2020, the agency said.
Interest Rate Risk Statistics Report (Fall 2020)