Company: TCBI
Filing Date: 2025-02-11
Form Type: 10-K
Source: 0001077428-25-000036
Chunk: 85

Company: TEXAS CAPITAL BANCSHARES INC/TX
Filing Date: 2025-02-11
Form: 10-K
Item: Item 7A
Chunk 85
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660,346 Total borrowings998,406 — 174,717 372,223 1,545,346 Total interest sensitive liabilities$17,266,953 $1,298,625 $360,596 $372,343 $19,298,517 GAP$6,906,107 $(931,928)$357,662 $4,320,887 $— Cumulative GAP$6,906,107 $5,974,179 $6,331,841 $10,652,728 $10,652,728 Non-interest bearing deposits7,485,428 Stockholders’ equity3,367,936 Total$10,853,364 

(1)Available-for-sale debt securities and equity securities based on fair market value.

(2)Total loans include gross loans held for investment and loans held for sale.

47

While a gap interest table is useful in analyzing interest rate sensitivity, an interest rate sensitivity simulation provides a better illustration of the sensitivity of earnings to changes in interest rates. Earnings are also affected by the effects of changing interest rates on the value of funding derived from non-interest bearing deposits and stockholders’ equity. Management performs a sensitivity analysis to identify interest rate risk exposure on net interest income. Management also quantifies and measures interest rate risk exposure using a model to dynamically simulate the effect of changes in net interest income relative to changes in interest rates over the next twelve months based on different interest rate scenarios. These are a static rate scenario and “shock test” scenarios, as described below.

These scenarios are based on interest rates as of the last day of a reporting period published by independent sources and incorporate relevant spreads of instruments that are actively traded in the open market. The Federal Reserve’s federal funds target affects short-term borrowing; the prime lending rate, SOFR, Bloomberg Short Term Yield Index and other alternative indexes are the basis for most of the variable-rate loan pricing. The 10-year treasury rate is also monitored because of its effect on prepayment speeds for mortgage-backed securities. These are the Company’s primary interest rate exposures. Interest rate derivative contracts may be used to manage exposure to adverse fluctuations in these primary interest rate exposures as is discussed in more detail under the heading Use of Derivatives to Manage Interest Rate and Other Risks below.

For modeling purposes, the “shock test” scenarios as of December 31, 2024 and December 31, 2023 assume immediate