Western Alliance’s rate-risk gauge breaches internal guidance
EVE depletion for 100bp and 200bp hike scenarios highest disclosed by any US regional bank
A barometer of Western Alliance Bank’s vulnerability to higher interest rates rose beyond its internal limits in the first quarter, with the bank’s balance sheet simulated to lose far more value to a yield-curve shock than other US regionals.
As of end-March, the bank modelled its economic value of equity (EVE) – a cashflow-based assessment of the balance sheet’s worth over its lifetime – to drop 11.7% against a 100-basis point instantaneous rate hike, and 21% against a 200bp step-up. The bank
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