NY Fed, Report: How Do Interest Rates (and Depositors) Impact Measures of Bank Value?  

“This post reviews how bank valuations are affected by interest rate risk. In theory, bank value and profitability can increase or decrease as interest rate risk materializes. A crucial variable that determines the ultimate impact is the price sensitivity of depositors and whether depositors make it possible for banks to hold their assets to maturity.”

“Note that we do not discuss the market capitalization of the bank, which is what the equity of the bank trades at on the stock market. The market value of the firm will typically vary across the measures we outline in this post depending on market participants’ expectations around the path of interest rates and the behavior of deposits.”