OCC publishes interest-rate risk data for Spring ‘21

Interest rate risk (IRR) data gathered during examinations of midsize and community national banks and federal savings associations were published Thursday by their federal regulator.

The Office of the Comptroller of the Currency (OCC) said the report provides statistics on interest rate risk exposures and risk limits for different midsize and community bank populations.

The agency said its supervisory process includes a review of bank-reported IRR data, including exposures, risk limits, and non-maturity deposit (NMD) assumptions. The agency then compiles these data, it said, 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 statistics are for informational purposes only and do not represent OCC-suggested limits or exposures, OCC said.

Additionally, the report provides statistics for different bank populations. “The OCC calculated exposures and risk limits for the most commonly modeled target accounts in different interest rate stress scenarios,” the report states. “The OCC also calculated key NMD assumptions for different NMD types.”

OCC Interest Rate Risk Statistics Report (April 1, 2020)