Directors & Senior Management: Interest Rate Risk in 2024 Model Assumptions in a Falling Rate Environment
After a little more than two years and 525 basis points-worth of rate hikes, the Federal Reserve has started to signal that rate cuts are on the horizon. During the period of rapid rate hikes, we saw an increased focus on asset liability management/interest rate risk model assumption review and documentation. Along with rising rates, we also saw an increasingly competitive environment for deposits, which drove the cost of funds up much faster than assumed across the board.
