Q2 Quarter 2023 slide image

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 16
View entire presentation