Company: BWFG
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001505732-25-000126
Chunk: 161

Company: Bankwell Financial Group, Inc.
Filing Date: 2025-08-06
Form: 10-Q
Item: Part I, Item 8
Chunk 161
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 movements in the yield curve compared to a flat yield curve scenario. Simulation analysis involves projecting a future balance sheet structure and interest income and expense under the various rate scenarios. Internal policy regarding internal rate risk simulations currently specifies that for instantaneous parallel shifts of the yield curve, estimated net interest income at risk for the subsequent one-year period should not decline by more than: 6% for a 100 basis point shift; 12% for a 200 basis point shift; and 18% for a 300 basis point shift. Per Company policy, the Bank should not be outside these limits for twelve consecutive months unless the Bank's forecasted capital ratios are considered to be "well capitalized". As of June 30, 2025, the Bank has met all minimum regulatory capital requirements to be considered "well capitalized".

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The following tables set forth the estimated percentage change in our net interest income at risk over one-year simulation periods beginning June 30, 2025 and December 31, 2024:

Parallel RampEstimated Percent Change in Net Interest IncomeRate Changes (basis points)June 30, 2025December 31, 2024-100(1.10)%0.40 %+2002.00 (1.00)

Parallel ShockEstimated Percent Change in Net Interest IncomeRate Changes (basis points)June 30, 2025December 31, 2024-100(3.90)%(1.00)%+1003.70 0.60 +2007.00 0.80 +30010.70 1.40 

The net interest income at risk simulation results indicate that, as of June 30, 2025, we remain liability sensitive. The liability sensitivity is due to the fact that there are more liabilities than assets subject to repricing as market rates change.

We conduct an economic value of equity at risk simulation in tandem with net interest income simulations, to ascertain a longer term view of our interest rate risk position by capturing longer-term repricing risk and options risk embedded in the balance sheet. It measures the sensitivity of economic value of equity to changes in interest rates. The economic value of equity at risk simulation values only the current balance sheet and does not incorporate the growth assumptions used in one of the income simulations. As with the net interest income simulation, this simulation captures product characteristics such as loan resets, repricing terms, maturity dates, rate caps and floors. Key assumptions include loan prepayment speeds, deposit pricing elasticity and non-maturity