The OCC today published its semiannual report on interest rate risk data gathered during examinations of OCC-supervised midsize and community banks and federal savings associations. The statistics are for informational purposes only, and do not represent OCC-suggested limits or exposures, the agency noted.
The report provides statistics on projected changes in 12-month net interest income in parallel interest rate shock scenarios ranging from –100 basis points to +400 basis points; projected changes in economic value of equity in parallel interest rate shock scenarios ranging from –100 basis points to +400 basis points; banks’ policy limits for changes in NII and EVE in parallel interest rate shock scenarios ranging from –100 basis points to +400 basis points; and non-maturity deposit repricing rates and average lives for different account types.
