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Balanced Interest Rate Risk
Interest Rate Risk is well managed and skewed toward the upside in the current environment given asset sensitivity
-50%
-40%
-30%
-20%
-10%
0%
Change in NPV (%)
10%
Base
Up 100
FY 2017 ■FY 2018
FY 2019
Up 200
لا
0.40%
0.35%
0.30%
0.25%
0.20%
0.15%
0.10%
0.05%
Net Interest Margin Sensitivity vs. Base Case
-Up500
-Up400
-Up300
-Up200
-Up100
0.00%
Year 1
Year 2
Year 3
-0.05%
Up 300
Up 400
-0.10%
FY 2020
FY 2021
FY 2022
IRR measures as of June 30, 2022:
.
Net Interest Income (NII) would increase by 1.87% in +200 bps immediate and parallel shock
Net Portfolio Value after +200bps shock is 21% lower ($616mm) and at $2.3 billion would be 12.5% of total assets
Scenarios assume no management actions taken. Flattening/inverted rates with short term up more than long term would result in a larger negative affect.
WaFd Bank
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