BOK Financial(BOKF) - 2023 Q4 - Annual Report

Deposits and Loan-to-Deposit Ratio - Average deposits for 2023 totaled $33.2 billion, a decrease of$4.6 billion compared to the prior year[349] - Average deposits attributed to Commercial Banking were $15.3 billion for 2023, a$3.0 billion or 16% decrease compared to 2022[350] - Total brokered deposits represented 2% of total average deposits in 2023[351] - Estimated uninsured deposits totaled $18.7 billion or 55$1.295 billion in December 2023, up from $1.166 billion in 2022[364] - Net interest margin on average interest-earning assets excluding trading activities rose to 3.31$728.9 million in December 2023, up from $690.1 million in 2022[363] Interest Rate Sensitivity and Risk Management - The company's internal policy limit for net interest revenue variation due to a 200 basis point parallel change in market interest rates over twelve months is a maximum decline of 6.5$36.1 million, while a 100 bp increase results in $8.9 million. A 200 bp decrease results in$2.9 million, and a 100 bp decrease results in $7.9 million[373] - Anticipated impact over months twelve through twenty-four: A 200 bp increase results in$10.98 million, while a 100 bp increase results in $8.44 million. A 200 bp decrease results in$73.77 million, and a 100 bp decrease results in $42.66 million[373] - The Board has approved a$7 million market risk limit for the mortgage production pipeline, net of forward sale contracts[376] - The Board has approved a $20 million market risk limit for mortgage servicing rights, net of economic hedges[400] - MSR Asset sensitivity: Up 50 bp results in$7.97 million, while Down 50 bp results in -$9.88 million for 2023. For 2022, Up 50 bp results in$6.1 million, and Down 50 bp results in -$8.2 million[401] - MSR Hedge sensitivity: Up 50 bp results in -$8.44 million, while Down 50 bp results in $8.61 million for 2023. For 2022, Up 50 bp results in -$7.4 million, and Down 50 bp results in $6.81 million[401] - Net Exposure sensitivity: Up 50 bp results in -$470,000, while Down 50 bp results in -$1.27 million for 2023. For 2022, Up 50 bp results in -$1.3 million, and Down 50 bp results in -$1.39 million[401] - The Company conducts sensitivity analysis by shocking interest rates up and down 50 basis points to measure market risk[407] Market Risk and VaR Metrics - The Company calculates VaR using a historical simulation approach with a 10-day holding period and a 99$4,757 thousand in Q4 2023, compared to $5,954 thousand in Q3 2023 and$3,927 thousand in Q4 2022[406] - The period-end 10-day 99% VaR decreased to $2,977 thousand in Q4 2023 from$6,455 thousand in Q3 2023, primarily due to reduced interest rate risk exposure[405][406] - The average 10-day 99% SVaR for the trading portfolio was $8,154 thousand in Q4 2023, compared to$6,118 thousand in Q3 2023 and $7,091 thousand in Q4 2022[406] - The period-end 10-day 99$4,925 thousand in Q4 2023 from $6,455 thousand in Q3 2023[406] - The Board approved an$11 million interest rate risk limit for the trading portfolio, net of economic hedges[407] Model Risk Management and Validation - The Company regularly updates historical data used by the VaR model and performs independent model validations to ensure accuracy[406] - Model Risk Management staff enforces a governance program that includes remediation actions and restrictions on model usage[408] - Models are validated through an evaluation process assessing data, theory, implementation, outcomes, and governance, with results categorized as "Approved for use," "Approved with findings," or "Unapproved"[409] - Model validation staff maintain independence from both developers and users of the models[409] Repossessed Assets and Share Repurchases - Real estate and other repossessed assets totaled $2.9 million at December 31, 2023, a decrease of$11 million compared to December 31, 2022[347] - The Company repurchased 2,113,808 shares during 2023 at an average price of $82.85 per share[358] LIBOR Transition and Vendor Reliance - The Company ceased production of new LIBOR-based exposure as of December 31, 2021 and now offers floating rate products in various alternative reference rates[343] - The Company is heavily reliant on a single vendor for information systems, communications, data management, and transaction processing[62] FDIC Special Assessment - The cost of resolving the recent bank failures has prompted the FDIC to issue a special assessment to recover costs to the Deposit Insurance Fund[59] Mortgage Risk Management - The Company uses forward sale contracts to mitigate market risk on all closed mortgage loans held for sale and on an estimate of mortgage loan commitments expected to result in closed loans[401]