Company: WAL-PA
Filing Date: 2025-11-03
Form Type: 10-Q
Source: 0001628280-25-047883
Chunk: 45

Company: WESTERN ALLIANCE BANCORPORATION
Filing Date: 2025-11-03
Form: 10-Q
Item: Part I, Item 2
Chunk 45
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 and line of business level model assumptions. Current non-term deposit repricing assumptions result in a product-level beta range of 48% to 92%, depending on product, with an average beta of 60%. 

This analysis illustrates the impact of changes in net interest income for the given set of rate changes and assumptions. It does not account for all factors that could impact the Company's results, including changes by management to mitigate interest rate changes or secondary factors, such as changes to the Company's credit risk profile as interest rates change. The results will also be impacted by seasonality in the balance sheet. Furthermore, loan prepayment rate estimates and spread relationships change regularly. These assumptions are inherently uncertain and as a result, actual results may differ from simulated results due to factors such as timing, magnitude and frequency of interest rate changes as well as changes in market conditions, customer behavior, management strategies, and changes that vary significantly from the modeled assumptions may have a significant effect on the Company's actual net interest income.

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The table below presents the changes in net interest income that would occur in response to an instantaneous and sustained increase or decrease (shock) in market interest rates based on a dynamic balance sheet. In addition, the table provides results from additional scenarios in response to gradual, parallel changes (ramp) in market interest rates over twelve months. The Company continues to evaluate the scenarios that are presented as interest rates change and will update these scenario disclosures as appropriate.

Sensitivity of Net Interest Income

Interest Rate ScenarioDown 200Down 100Up 100Up 200(change in basis points from Base)Parallel Shock Scenario(9.1)%(4.2)%5.6 %10.8 %Gradual Ramp Scenario(5.5)%(2.2)%3.4 %6.1 %

Earnings-at-Risk. The Company’s EaR simulation model expands on its net interest income simulation, as described above, by adding certain rate-sensitive non-interest income and expense items also subject to market risk, including mortgage banking and servicing income and ECR deposit costs. Mortgage originations and prepayments are sensitive to interest rates and therefore, mortgage banking and servicing income can be impacted by changes in interest rates. In the Company’s EaR simulation model as of September 30, 2025, deposits eligible for ECRs re-price with a beta assumption of 75% to underlying market rate changes, and total non-maturity deposits, inclusive of ECRs, re-price with a weighted average beta