Company: MCHB
Filing Date: 2025-03-07
Form Type: 10-K
Source: 0001518715-25-000026
Chunk: 72

Company: Mechanics Bancorp
Filing Date: 2025-03-07
Form: 10-K
Item: Item 7A
Chunk 72
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 net interest income sensitivity analysis.

Changes in the mix of interest-earning assets or interest-bearing liabilities can either increase or decrease the net interest margin, without affecting interest rate sensitivity. In addition, the interest rate spread between an earning asset and its funding liability can vary significantly, while the timing of repricing for both the asset and the liability remains the same, thereby impacting net interest income. This characteristic is referred to as basis risk. Varying interest rate environments can create unexpected changes in prepayment levels of assets and liabilities that are not reflected in the interest rate sensitivity analysis. These prepayments may have a significant impact on our net interest margin. Because of these factors, an interest sensitivity gap analysis may not provide an accurate assessment of our actual exposure to changes in interest rates.

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The estimated impact on our net interest income over a time horizon of one year and the change in net portfolio value as of December 31, 2024 and 2023 are provided in the table below. For the scenarios shown, the interest rate simulation assumes an instantaneous and sustained shift in market interest rates and no change in the composition or size of the balance sheet.

 December 31, 2024December 31, 2023Change in Interest Rates(basis points) (1)Percentage ChangeNet Interest Income (2)Net Portfolio Value (3)Net Interest Income (2)Net Portfolio Value (3)+300(4.0)%(14.5)%(15.4)%(23.8)%+200(1.5)%(6.6)%(9.4)%(13.9)%+100(0.5)%(2.6)%(4.2)%(5.9)%-1000.3 %(0.2)%3.5 %1.9 %-2000.1 %(3.8)%6.6 %1.0 %-300— %(12.3)%10.9 %(6.7)%

(1)For purposes of our model, we assume interest rates will not go below zero. This "floor" limits the effect of a potential negative interest rate shock in a low rate environment.

(2)This percentage change represents the impact to net interest income for a one-year period, assuming there is no change in the structure of the balance sheet.

(3)This percentage change represents the impact to the net present value of equity, assuming there is no change