OCEANFIRST FINANCIAL CORP 10-Q

Item 3. Quantitative and Qualitative Disclosures About Market Risk The Company’s interest rate sensitivity is monitored through the use of interest rate risk (“IRR”) modeling. The following table sets forth the amounts of interest-earning assets and interest-bearing liabilities outstanding at September 30, 2021, which were anticipated by the Company, based upon certain assumptions, to reprice or mature in each of the future time periods shown. At September 30, 2021, the Company’s one-year gap was positive 22.35% as compared to positive 18.05% at December 31, 2020. At September 30, 2021 3 Months or Less More than 3 Months to 1 Year More than 1 Year to 3 Years More than 3 Years to 5 Years More than 5 Years Total (dollars in thousands) Interest-earning assets: (1) Interest-earning deposits and short-term investments $ 793,303 $ 1,431 $ 1,975 $ — $ — $ 796,709 Debt securities 266,574 239,314 348,929 227,782 360,695 1,443,294 Equity investments — — 30,399 28,316 42,599 101,314 Restricted equity investments — — — — 53,017 53,017 Loans receivable (2) 2,343,976 1,561,103 2,291,282 1,151,399 847,500 8,195,260 Total interest-earning assets 3,403,853 1,801,848 2,672,585 1,407,497 1,303,811 10,589,594 Interest-bearing liabilities: Interest-bearing checking accounts 1,444,263 195,213 451,077 365,372 1,557,640 4,013,565 Money market deposit accounts 72,132 54,037 125,669 102,774 462,079 816,691 Savings accounts 86,173 138,286 302,615 237,016 856,357 1,620,447 Time deposits 169,818 430,971 211,381 27,962 15,310 855,442 Securities sold under agreements to repurchase and other borrowings 247,421 154 444 123,350 810 372,179 Total interest-bearing liabilities 2,019,807 818,661 1,091,186 856,474 2,892,196 7,678,324 Interest sensitivity gap (3) $ 1,384,046 $ 983,187 $ 1,581,399 $ 551,023 $ (1,588,385) $ 2,911,270 Cumulative interest sensitivity gap $ 1,384,046 $ 2,367,233 $ 3,948,632 $ 4,499,655 $ 2,911,270 $ 2,911,270 Cumulative interest sensitivity gap as a percent of total interest-earning assets 13.07 % 22.35 % 37.29 % 42.49 % 27.49 % 27.49 % (1) Interest-earning assets are included in the period in which the balances are expected to be redeployed and/or repriced as a result of anticipated prepayments, scheduled rate adjustments, and contractual maturities. (2) For purposes of the gap analysis, loans receivable includes loans held for sale and non-performing loans gross of the allowance for loan credit losses, unamortized discounts and deferred loan costs and fees. (3) Interest sensitivity gap represents the difference between interest-earning assets and interest-bearing liabilities. 18 Table of Contents Additionally, the table below sets forth the Company’s exposure to IRR as measured by the change in economic value of equity (“EVE”) and net interest income under varying rate shocks as of September 30, 2021 and December 31, 2020. All methods used to measure interest rate sensitivity involve the use of assumptions, which may tend to oversimplify the manner in which actual yields and costs respond to changes in market interest rates. The Company’s interest rate sensitivity should be reviewed in conjunction with the financial statements and notes thereto contained in the 2020 Form 10-K. September 30, 2021 December 31, 2020 Change in Interest Rates in Basis Points (Rate Shock) Economic Value of Equity Net Interest Income Economic Value of Equity Net Interest Income Amount % Change EVE Ratio Amount % Change Amount % Change EVE Ratio Amount % Change (dollars in thousands) 300 $ 1,900,559 33.8 % 17.1 % $ 389,436 31.9 % $ 1,890,335 38.5 % 17.3 % $ 340,098 16.2 % 200 1,770,701 24.6 15.6 354,181 19.9 1,752,255 28.4 15.7 325,436 11.2 100 1,611,072 13.4 13.9 318,183 7.7 1,578,917 15.7 13.9 309,644 5.8 Static 1,420,933 — 12.0 295,335 — 1,365,119 — 11.8 292,572 — (100) 1,160,332 (18.3) 9.6 268,236 (9.2) 1,074,346 (21.3) 9.2 284,763 (2.7) The interest rate sensitivity at September 30, 2021 and December 31, 2020, continue to be impacted by the cash liquidity position that remains elevated.