Large Bank Supervision Forum 2023

Internal Use Only

Interest Rate Risk trends

For many larger institutions, NIM initially increased through 2022 • Starting to see some shifts and early signs of NIM erosion

Repositioning of balance sheets

• Assets have continued to grow • Deposit runoff has begun • Initial declines were related to consumer spending and inflation reducing surge deposits • Seeing first signs of yield seeking shifts

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Internal Use Only

Supervisory Program Coverage of IRR

Supervisory Programs should provide for comprehensive coverage of interest rate risk through both onsite review and ongoing monitoring. Ongoing Monitoring Reports that should be requested: ALCO Packages and Appendices Sub-Committee Packages (treasury, B/S management, capital markets) Independent Review Model Validation

Meetings that should be attended: ALCO Sub-Committees

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