This paper examines how bond and equity investors adjust their required compensation to fund bank and shadow bank assets when markets sharply revise their expectations for key benchmark interest rates. In an event-study design, I analyze TRACE bond and CRSP equity price returns around daily surprises derived from CME Group futures contracts. The event-study results are then decomposed in the cross-section using FR Y-9C and Compustat financial statement data within a firm-fixed-effects interactive regression framework. Aggregate data and theory usually find equity returns to be more volatile than bond returns, but I find the opposite to be true for banks around acute rate surprises. Long-term (path) surprises disproportionately affect bank bonds, especially at smaller institutions with large repricing or maturity gaps, whereas short-term (target) surprises most strongly affect bank equities, particularly among thinly capitalized firms. These effects are more pronounced for banks than for shadow banks, whose securities display smaller and often less persistent repricing. The paper’s main contribution is its joint analysis of bonds and equities, demonstrating that conclusions about market discipline of banks depend critically on the security studied and that single-security frameworks risk systematic misestimation of the true impact of events on banks.