Company: FRME
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0000712534-25-000058
Chunk: 226

Company: FIRST MERCHANTS CORP
Filing Date: 2025-02-24
Form: 10-K
Item: Item 7
Chunk 226
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 assets$7,699,424 $735,154 $3,977,153 $4,069,810 $16,481,541 Rate-Sensitive Liabilities:     Interest-bearing deposits$11,781,149 $142,869 $272,029 $— $12,196,047 Federal funds purchased99,226 — — — 99,226 Securities sold under repurchase agreements142,876 — — — 142,876 Federal Home Loan Bank advances70,000 25,000 665,000 62,554 822,554 Subordinated debentures and term loans58,169 — 30,000 5,360 93,529 Total rate-sensitive liabilities$12,151,420 $167,869 $967,029 $67,914 $13,354,232 Interest rate sensitivity gap by period$(4,451,996)$567,285 $3,010,124 $4,001,896 Cumulative rate sensitivity gap$(4,451,996)$(3,884,711)$(874,587)$3,127,309  Cumulative rate sensitivity gap ratio     at December 31, 202463.4 %68.5 %93.4 %123.4 % at December 31, 202366.7 %66.5 %96.4 %125.7 % 

The Corporation had a cumulative negative gap of $3.9 billion in the one-year horizon at December 31, 2024, or 21.2 percent of total assets. 

Net interest income simulation modeling, or earnings-at-risk, measures the sensitivity of net interest income to various interest rate movements. The Corporation’s asset liability process monitors simulated net interest income under three separate interest rate scenarios; base, rising and falling.  Estimated net interest income for each scenario is calculated over a twelve-month horizon.  The immediate and parallel changes to the base case scenario used in the model are presented below.  The interest rate scenarios are used for analytical purposes and do not necessarily represent management’s view of future market movements.  Rather, these are intended to provide a measure of the degree of volatility interest rate movements may introduce into the earnings of the Corporation.

The base scenario is highly dependent on numerous assumptions embedded in the model, including assumptions related to future interest