I think OCC’s report provides an expectation for a +100bps (+1%) interest rate hike. All of their models showing smallest largest losses for banks will occur when +1% increase in interest rates. Except for the big boys with >$10B, which would lose less with +300bps (+3%) in interest rate.

by laflammaster

Caption: <100M in assets

https://www.occ.gov/publications-and-&#8230;

Caption: >=$100M, <$250M

https://www.occ.gov/publications-and-&#8230;

Caption: >=$250M, <$500M

https://www.occ.gov/publications-and-&#8230;

Caption: >=$500M, <$1B

https://www.occ.gov/publications-and-&#8230;

Caption: >=$1B, <$10B

https://www.occ.gov/publications-and-&#8230;

Caption: >$10B

https://www.occ.gov/publications-and-&#8230;

Caption: National Banks

https://www.occ.gov/publications-and-&#8230;

Caption: Stock FSAs

https://www.occ.gov/publications-and-&#8230;

Caption: Mutual FSAs

https://www.occ.gov/publications-and-&#8230;

Caption: Minority Depository Institutions

https://www.occ.gov/publications-and-&#8230;

I have a theory on QES – Quanto Equity Swaps.

They are a type of Equity Total return Swaps that Criand wrote about, but with a twist.

These swaps have an extra layer of protection for hedgies as they are more succeptible to interest rate and even more succeptible to currency rate change, less on the swings of underlying value of the security.

There is limited information about these swaps as they are incredibly complex in nature, however, if I were Kenny – this is the safest way I could ensure myself surviving the longest.

Interest rate increase will provide large swings in currency exchange rates, and as a result changing the value of these swaps – eventually causing marge to call.