Highlight from the OCC’s Fall 2013 Semiannual Risk Perspective:

According to data from Olson Research Associates (and consistent with the industry’s increased holdings of longer-term MBS), given a 200 basis point interest rate increase (shock), commercial banks would now see an average negative adjustment of 24 percent to their EVE—versus only half that as recently as mid-2007 (see figure 33).

OCC’s Fall 2013 Semiannual Risk Perspective