Monetary policy tightening will entail draining excess reserves at some point, and as institutions reconsider their liquidity management – subject to new, stronger liquidity requirements from supervisors, to be sure – their current asset-sensitivity might be expected to decline.
And the behavior of various types of customers and instruments may be difficult to predict as the economy and financial markets emerge from this highly unusual period. Thus, even larger asset-sensitive institutions may need to deal with more complex and difficult interest rate risk issues than might be thought.