Company: BWFG
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001505732-25-000126
Chunk: 188

Company: Bankwell Financial Group, Inc.
Filing Date: 2025-08-06
Form: 10-Q
Item: Part I, Item 2
Chunk 188
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 loan rates that are based on recent new business origination experience; and (iii) deposit pricing assumptions for non-maturity deposits reflecting the Bank’s history, management judgment and core deposit studies. Combined, these assumptions can be inherently uncertain, and as a result, actual results may differ from simulation forecasts due to the timing, magnitude and frequency of interest rate changes, future business conditions, as well as unanticipated changes in management strategies.

We use two sets of standard scenarios to measure net interest income at risk. For the Parallel Ramp Scenarios, rate changes are ramped over a twelve-month horizon based upon a parallel yield curve shift and then maintained at those levels over the remainder of the simulation horizon. Parallel Shock Scenarios assume instantaneous parallel 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