Interest-rate risk data obtained during examinations of 891 banking institutions supervised by the Office of the Comptroller of the Currency (OCC) from Sept. 30, 2021, to June 30, 2023, is the focus of the agency’s fall Interest Rate Risk (IRR) Statistics Report, issued Thursday.
In its Bulletin 2023-31, the OCC said the report provides statistics on interest rate risk exposures and risk limits for different midsize and community bank populations, including all OCC-supervised midsize and community banks with reported data; banks by asset size; banks by charter type; and minority depository institutions.
In its report, the OCC said the document 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.
It said the 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