Economic value of equity (EVE) is more vulnerable to interest rate increases than are other financial indicators, according to the latest interest rate risk statistics report issued Friday by the national bank regulator.
According to the quarterly report (for fall 2026) issued by the Office of the Comptroller of the Currency (OCC), the median EVE change for all banks is -2% at +100 bp; it worsens to -11% at +400 bp. Under falling rates, according to an artificial intelligence (AI) analysis of the report, under falling rates the median EVE impact is smaller, from 0% at -100 bp to -7% at -400 bp.
EVE is described as measuring the net present value of a bank’s assets minus the present value of its liabilities. Its purpose is described as evaluating long-term interest rate risk across the entire life of a bank’s balance sheet, unlike short-term metrics like net interest income (NII).
However, the analysis shows that NII is more resilient for banks than EVE. The analysis shows that, at the median, a +100 bp shock produces a 1% gain, and +200 to +400 bp shocks produce 1% to 2% gains. Rate declines reduce median NII, reaching –8% at -400 bp.
Interest Rate Risk: Interest Rate Risk Statistics Report
Leave a Reply