Deposit repricing shifts Zions’ IRR outlook

The bank reckons high pass-through of Fed hikes means its rate-shock exposure is lower than under standard modelling

An ad hoc adjustment to Zions Bancorporation’s interest rate risk model to account for how deposits repriced in the last 12 months shows greatly reduced income sensitivity to yield-curve shocks, the bank’s latest public disclosures show.

Net interest income sensitivity to changes in interest rates, as quantified by the model traditionally employed by the bank, grew larger still in the second quarter, to the widest in a year. The negative, one-year impact on NII from a -200-basis point parallel

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