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: All Banks www.occ.gov/publications-and-… Caption: <100M in assets www.occ.gov/publications-and-… Caption: >=$100M, <$250M www.occ.gov/publications-and-… Caption: >=$250M, <$500M www.occ.gov/publications-and-… Caption: >=$500M, <$1B www.occ.gov/publications-and-… Caption: >=$1B, <$10B www.occ.gov/publications-and-… Caption: >$10B www.occ.gov/publications-and-… Caption: