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.

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