Company: BWFG
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001505732-25-000126
Chunk: 87

Company: Bankwell Financial Group, Inc.
Filing Date: 2025-08-06
Form: 10-Q
Item: Part I, Item 1
Chunk 87
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 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 deposit attrition rates. These assumptions can have significant impacts on valuation results as the assumptions remain in effect for the entire life of each asset and liability. All key assumptions are subject to a periodic review.

Base case economic value of equity at risk is calculated by estimating the net present value of all future cash flows from existing assets and liabilities using current interest rates. The base case scenario assumes that future interest rates remain unchanged.

The following table sets forth the estimated percentage change in our economic value of equity at risk, assuming various shifts in interest rates:

Estimated Percent Change in Economic Value of Equity ("EVE")Rate Changes (basis points)June 30, 2025December 31, 2024-100(0.30)%0.40 %+100(0.50)(1.30)+200(1.70)(3