Delfi, a New York-based provider of AI-native balance sheet optimisation technology, has launched a benchmarking tool to help US banks and credit unions assess whether the returns they generate adequately compensate for the interest rate risk they carry.
The Risk/Return Benchmark compares each institution’s net interest margin with a selected group of comparable lenders, adjusting for differences in interest rate exposure. The tool is designed to identify underperforming margins and highlight opportunities to improve risk-adjusted returns. Where two institutions generate the same margin, the lender achieving that outcome with less rate exposure delivers the stronger risk-adjusted performance.
Delfi’s research suggests the opportunity to improve returns is substantial. 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 benchmarking methodology draws on the Markowitz model, a foundational concept in modern portfolio theory that examines how investors can maximise expected returns for a given level of risk. Delfi applies the principle to banking balance sheets, comparing institutions’ margins against high-performing peers adjusted for equivalent interest rate exposure.
The analysis covers 7,800 US financial institutions with assets ranging from $10m to $100bn. It uses first-quarter 2026 Call Report data from the Federal Deposit Insurance Corporation (FDIC) and the National Credit Union Administration (NCUA).
Delfi developed the product through the work of co-founders Daniel Ahn and Alexander Demyanets. Ahn holds a doctorate from Harvard University and previously served as chief economist at the US Department of State and chief US economist at BNP Paribas. Demyanets holds a doctorate from Johns Hopkins University and has held roles at the US Treasury, the Bank of England and Goldman Sachs.
The benchmark joins Delfi’s existing balance sheet optimisation offering, which aims to make sophisticated financial risk management more accessible to institutions of different sizes. Its Overwatch Essentials product uses deterministic simulations and stress scenarios to assess balance sheet risk, while Overwatch Predictive applies probabilistic simulations and scenario analysis to evaluate potential strategies. Delfi Exchange provides curated access to third-party financial instruments for executing capital markets strategies.
To support the launch, Delfi is offering complimentary benchmarking reports to financial institutions. These identify five comparable peers, assess an institution’s position on the risk-return spectrum, estimate the additional net interest income available without taking on more risk, and outline potential balance sheet strategies.
Delfi co-founder and CEO Daniel Ahn said, “Taking more risk should come with more reward, but that’s not the case for too many community institutions. We’re giving banks and credit unions a way to see where their risk is paying off and where it isn’t, and we’re showing them what unlocked income potential could look like.”
Delfi co-founder and chief strategy officer Joseph Ahn said, “Knowing you have a gap is only useful if you can close it. Delfi’s Risk/Return Benchmark shows an institution where its gap is. Delfi Overwatch then helps it build a strategy to close the gap, and Delfi Exchange lets it execute that strategy through the capital markets. It’s part of the Delfi ecosystem we are building.”
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