Merchants Bancorp(MBIN) - 2021 Q3 - Quarterly Report

Interest Rate Risk Management - As of September 30, 2021, the projected dollar change in net interest income sensitivity for a +200 basis point shift is $69,553, representing a 25.1% increase [352]. - For a -200 basis point shift, the dollar change in net interest income sensitivity is $(20,688), reflecting a decrease of 7.5% [352]. - 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 [352]. - The company is within policy limits set by the board of directors for all interest rate scenarios as of September 30, 2021 [352]. - The Asset-Liability Committee (ALCO) meets quarterly to monitor interest rate risk sensitivity and ensure compliance with established risk limits [345]. - The company utilizes two approaches to model interest rate risk: Net Interest Income at Risk (NII at Risk) and Economic Value of Equity (EVE) [347]. Economic Value of Equity - The Economic Value of Equity (EVE) is projected to decrease by $(7,873) for a +200 basis point shift, which is a 0.8% decline [354]. - For a -200 basis point shift, the EVE is expected to increase by $2,133, indicating a 0.2% rise [354]. Risk Factors - The company faces various risks including impacts from the COVID-19 pandemic, credit risk management, and compliance with regulatory requirements [182]. - The company has identified market risk primarily from interest rate risk and price risk related to market demand [344].