OCC publishes Fall 2022 interest rate risk statistics report

The Office of the Comptroller of the Currency 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.

Share.