Company: WAL-PA
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001212545-25-000141
Chunk: 271

Company: WESTERN ALLIANCE BANCORPORATION
Filing Date: 2025-05-01
Form: 10-Q
Item: Part I, Item 8
Chunk 271
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5, deposits eligible for ECRs re-price with a beta assumption of 74% to underlying market rate changes, and total non-maturity deposits, inclusive of ECRs, re-price with a weighted average beta assumption of 62%. As a result of the higher deposit betas on deposits eligible for ECRs, in the down simulation scenarios, the Company will benefit from lower deposit costs. In a shock down 100 basis points scenario, ECR related deposit costs would decrease 23% from the baseline forecast over the next twelve months. At March 31, 2025, the Company’s earnings exposure for the next twelve months related to these hypothetical changes in market interest rates was within the Company’s current limits.

Economic Value of Equity. The Company measures the impact of market interest rate changes on the NPV of estimated cash flows from its assets, liabilities, and off-balance sheet items, defined as EVE, using a simulation model. The Company's simulation model focuses on parallel interest rate shocks and takes into account assumptions related to loan prepayment trends that are sourced using a combination of third-party prepayment models and internal historical experience, terminal maturity for non-maturity deposits, decay attrition, and pricing sensitivity derived from the Company's data and other internally-developed analysis and models. These assumptions are reviewed at least annually and are adjusted periodically to reflect changes in market conditions and the Company's balance sheet composition. As simulated model results are based on a number of assumptions outlined above, including forecasted market conditions, actual amounts may differ significantly from the projections set forth below should market conditions vary from the underlying assumptions. 

This simulation model assesses the changes in the market value of interest rate sensitive financial instruments that would occur in response to an instantaneous and sustained increase or decrease (shock) in market interest rates. The Company continues to evaluate the scenarios that are presented as interest rates change and will update these scenario disclosures as appropriate.

The following table shows the Company's projected change in EVE for this set of rate shocks at March 31, 2025:

Economic Value of Equity 

Interest Rate ScenarioDown 200Down 100Up 100Up 200(change in basis points from Base)% Change0.6 %1.5 %(2.2)%(4.4)%

At March 31, 2025, the Company's EVE exposure related to these hypothetical changes in market interest rates was within the Company's current limits. 

Derivative Contracts. In the normal course of business, the Company uses