This Commentary examines the maturity structure of assets and liabilities to identify the underlying factors responsible for the rise in interest rate risk and the differences between large and small banks.
Average interest rate risk in the banking system has been increasing since the end of the financial crisis and is almost back to its pre-recession level. But the increase has not occurred uniformly at large and small banks.
This article updates the tables published in an article by Loretta J. Mester in the March/April 2000 issue of Federal Reserve Bank of Philadelphia’s Business Review and last updated in the Third Quarter 2012 issue.