Episode 260: How worried are banks about interest rate risk?

This episode examines the OCC’s semiannual Interest Rate Risk Statistics Report for fall 2024. Interest rate risk is one of the largest risks that banks of all sizes face. Fluctuation in interest rates can have massive implications for bank balance sheets and future earnings. This report includes a review of bank reported IRR data that includes exposures, risk limits, and non-maturity deposit assumptions. The data is also broken down based on bank asset sizes. A link to the report is included below.

Link: Interest Rate Risk Statistics Report | OCC