Key Takeaways
- • Delfi, a New York-based provider of AI-native balance sheet optimisation technology, launched a Risk/Return Benchmark that compares US banks' and credit unions' net interest margins against comparable lenders, adjusted for interest rate exposure.
- • According to Delfi's research, more than 60% of US banks and credit unions earn net interest margins at least 0.5 percentage points below their strongest comparable peer on a risk-adjusted basis.
- • For institutions in that lagging group, the median potential improvement exceeds $2.5m in annual net interest income.
- • The analysis covers 7,800 US financial institutions with assets from $10m to $100bn, using first-quarter 2026 Call Report data from the FDIC and NCUA.
- • Delfi is offering complimentary benchmarking reports identifying five comparable peers and estimating additional net interest income available without taking on more risk.
Summary
Delfi has launched a Risk/Return Benchmark designed to help US banks and credit unions determine whether the returns they generate adequately compensate for the interest rate risk they carry. The tool compares each institution's net interest margin with a selected group of comparable lenders, adjusting for differences in interest rate exposure. Where two institutions report the same margin, the one achieving it with less rate exposure is shown to deliver the stronger risk-adjusted performance.
Delfi's research indicates a substantial opportunity to improve returns. More than 60% of US banks and credit unions generate net interest margins at least 0.5 percentage points below those of their strongest comparable peer, after adjusting the peer's figures to an equivalent level of risk. For institutions in this group, the median potential improvement exceeds $2.5m in annual net interest income.
The methodology draws on the Markowitz model from modern portfolio theory, applying the principle of maximising expected return for a given level of risk to banking balance sheets. The analysis covers 7,800 US financial institutions with assets ranging from $10m to $100bn and uses first-quarter 2026 Call Report data from the Federal Deposit Insurance Corporation and the National Credit Union Administration.
Delfi was founded by co-founders Daniel Ahn and Alexander Demyanets. Daniel Ahn, co-founder and CEO, holds a Harvard doctorate and previously served as chief economist at the US Department of State and chief US economist at BNP Paribas. Demyanets holds a Johns Hopkins doctorate and has held roles at the US Treasury, the Bank of England and Goldman Sachs. The benchmark complements Delfi's existing offerings: Overwatch Essentials, which uses deterministic simulations and stress scenarios, Overwatch Predictive, which applies probabilistic simulations, and Delfi Exchange, which provides curated access to third-party instruments for capital markets strategies.
To support the launch, Delfi is providing complimentary benchmarking reports that identify five comparable peers, assess each institution's position on the risk-return spectrum, estimate additional net interest income available without added risk, and outline potential balance sheet strategies. Ahn said, "Taking more risk should come with more reward, but that's not the case for too many community institutions." Co-founder and chief strategy officer Joseph Ahn said the benchmark identifies the gap, Overwatch helps build a strategy to close it, and Delfi Exchange enables execution through the capital markets.
Delfi's research indicates a substantial opportunity to improve returns. More than 60% of US banks and credit unions generate net interest margins at least 0.5 percentage points below those of their strongest comparable peer, after adjusting the peer's figures to an equivalent level of risk. For institutions in this group, the median potential improvement exceeds $2.5m in annual net interest income.
The methodology draws on the Markowitz model from modern portfolio theory, applying the principle of maximising expected return for a given level of risk to banking balance sheets. The analysis covers 7,800 US financial institutions with assets ranging from $10m to $100bn and uses first-quarter 2026 Call Report data from the Federal Deposit Insurance Corporation and the National Credit Union Administration.
Delfi was founded by co-founders Daniel Ahn and Alexander Demyanets. Daniel Ahn, co-founder and CEO, holds a Harvard doctorate and previously served as chief economist at the US Department of State and chief US economist at BNP Paribas. Demyanets holds a Johns Hopkins doctorate and has held roles at the US Treasury, the Bank of England and Goldman Sachs. The benchmark complements Delfi's existing offerings: Overwatch Essentials, which uses deterministic simulations and stress scenarios, Overwatch Predictive, which applies probabilistic simulations, and Delfi Exchange, which provides curated access to third-party instruments for capital markets strategies.
To support the launch, Delfi is providing complimentary benchmarking reports that identify five comparable peers, assess each institution's position on the risk-return spectrum, estimate additional net interest income available without added risk, and outline potential balance sheet strategies. Ahn said, "Taking more risk should come with more reward, but that's not the case for too many community institutions." Co-founder and chief strategy officer Joseph Ahn said the benchmark identifies the gap, Overwatch helps build a strategy to close it, and Delfi Exchange enables execution through the capital markets.
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