Latest IRR report from OCC focuses on 21 months over 2021-22

Interest-rate risk (IRR) statistics for banks between March 21, 2021 to Dec. 31, 2022, were released Wednesday by the national bank regulator.

The report, released by the Office of the Comptroller of the Currency (OCC) semi-annually (the last report was issued this past October covering the two-year period of September 2020 to September 2022), compiles IRR interest rate risk (IRR) data gathered during examinations of OCC-supervised midsize and community banks and federal savings associations (FSAs).

The report presents statistics based on data from 899 banks. The OCC said it calculates exposures and risk limits for the most modeled target accounts in different interest rate stress scenarios. The agency said it also calculates key non-maturity deposit (NMD)

assumptions for different NMD types.

The OCC said the report provides tables with statistics on

  • 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.
    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.

Interest Rate Risk Statistics Report