Merchants Bancorp(MBIN) - 2023 Q2 - Quarterly Report

Interest Rate Risk Management - The company's interest rate risk management policy limits the change in net interest income to 20% for a +/- 100 basis point move and 30% for a +/- 200 basis point move [361]. - The company is within policy limits for all interest rate scenarios as of June 30, 2023 [361]. - The Asset-Liability Committee (ALCO) meets quarterly to monitor interest rate risk sensitivity and ensure compliance with established risk limits [353]. - Interest rate risk arises from timing differences in repricings and maturities of interest-earning assets and interest-bearing liabilities [351]. - The company utilizes two approaches to model interest rate risk: Net Interest Income at Risk (NII at Risk) and Economic Value of Equity (EVE) [357]. Net Interest Income Changes - As of June 30, 2023, the estimated dollar change in net interest income for a +200 basis point shift is $60,629 thousand, representing a 13.7% increase [361]. - The dollar change in net interest income for a -200 basis point shift is $(93,023) thousand, indicating a 21.0% decrease [361]. Economic Value of Equity (EVE) Changes - The Economic Value of Equity (EVE) is projected to decrease by $(23,514) thousand for a +200 basis point shift, reflecting a 1.6% decline [363]. - For a -200 basis point shift, the EVE is expected to increase by $1,101 thousand, showing a 0.1% rise [363]. Loan Funding Strategy - The company primarily funds fixed-rate, low-risk loans and retains adjustable-rate loans to mitigate interest rate risk [352].