US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception
The 2023 banking crisis, sparked by the fatal asset-liability mismanagement at Silicon Valley Bank (SVB), has failed to cajole US lenders to produce more granular disclosures of interest rate risk in the banking book (IRRBB), Risk Quantum analysis has found.
Out of a sample of 41 banks, the same 16 that detailed their economic value of equity’s (EVE) sensitivity to rate shocks at end-2022 were doing so a year later.
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