Q2 Quarter 2023
Interest Rate Sensitivity: Swap resets rate on hedged securities at the end of Q3
Balance Sheet Interest Rate Sensitivity
Over the next 12 months (estimated)
Immediate change in interest rates
Estimated net interest income sensitivity given
immediate, parallel shift in interest rates across
the yield curve with a static balance sheet
0.53%
Fair Value Hedges
At June 30, 2023
Entered into a 2-year forward starting swap in September 2021 to convert designated AFS securities from fixed interest rates
to variable interest rates based on federal funds effective rate. Total duration of the swap is 7 years, but can be unwound in
whole, or in part, prior to maturity at the Company's discretion.
Instrument
Hedged
Asset
Notional
Fair
Value
Weighted Avg
Pay Rate
Receive Rate
2-yr Forward
Starting Swap
Fixed Rate
Callable AFS
Securities
$1.0
Billion
$119
Million
1.21%
Federal Funds Effective
(currently 5.08%)
0.33%
0.09%
U25 bps
D50 bps
D25 bps
3.87%
Spread based on current rates (as of 7.24.23)
Equates to estimated ~$39M of interest income (annual basis)
Loan Portfolio
At June 30, 2023
Gradual change in interest rates*
Fixed vs Variable Rate
Floor Status - Variable Rate Loans
Estimated net interest income sensitivity given
gradual, parallel shift in interest rates across the
yield curve with a static balance sheet
Variable Rate Loans
23%
-
Rate Reset Date
27%
(0.06)%
D50 bps
0.03%
0.04%
D25 bps
U25 bps
43%
57%
73%
O
■ Variable Rate Loans ■Fixed Rate Loans
■ No Floor ■Not At Floor
* Assumptions used in balance sheet interest rate sensitivity estimates under a gradual increase/decrease in interest rates include the following:
Down 50 bps scenario -25 bp decrease in December 2023 and 25 bp decrease in January 2024
$5
Down 25 bps scenario - 25 bp decrease in December 2023
Up 25 bps scenario - 25 bp increase July 2023
5%
48%
24%
■Daily Within 3Mo 4 to 12 Mo - Over 12 Mo
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