OCC publishes fall 2026 interest rate risk statistics, adds two downward shock scenarios
The OCC has released the fall 2026 edition of its Interest Rate Risk Statistics Report, drawn from examinations of supervised midsize and community banks and federal savings associations. The edition adds two new downward parallel rate shock scenarios and their policy risk limits. The data is informational only and sets no suggested limits, but the new scenarios tell treasury teams where the examiner lens is widening.
- The fall 2026 report draws on interest rate risk data from OCC examinations of supervised midsize and community banks and federal savings associations.
- The edition adds minus 400 and minus 300 basis point parallel rate shock scenarios for earnings at risk and economic value of equity, plus their corresponding policy risk limits.
- Statistics are presented for all supervised banks with reported data, and broken out by asset size and by charter type.
- The OCC states the data is informational only and does not represent suggested limits or exposures.
- The bulletin rescinds OCC Bulletin 2026-14, which transmitted the spring 2026 report.