RJF · 10-Q · 2026Q2 · Full report

Interest Rate Risk Exposure

RAYMOND JAMES FINANCIAL INC · 2026-08-05 · Importance 43 · Surprise 32 · In source text

Raymond James’ available-for-sale securities portfolio had a fair value of $6.50 billion as of June 30, 2026. The portfolio had a weighted-average yield of 2.46%, a weighted-average life of 3.8 years, and an effective duration of approximately 3.29. A 100-basis-point decline in interest rates was expected to increase the portfolio’s market value by approximately 3.29%, while a 100-basis-point increase was expected to reduce its value by approximately 3.29%. The portfolio consisted primarily of agency-backed mortgage-backed securities, agency-backed collateralized mortgage obligations, and U.S. Treasuries.

Key facts

• Assuming future market conditions change as they have in the past twelve months, we would expect to incur losses greater than those predicted by our one-day VaR estimates about once every 100 trading days, or two to three times per year on average. source
• Bank segment net interest margin for the quarter ended June 30, 2026: 2.71% and firmwide net interest margin: 2.67% (quarter values shown earlier in table) source
• EVE analyses were within Board-approved limits as of June 30, 2026. source
• Our regulatory-defined daily trading losses in our trading portfolios did not exceed our predicted VaR during the three months ended June 30, 2026, and exceeded our predicted VaR on one occasion during the nine months ended June 30, 2026. source
• VaR is reported at a 99% confidence level for a one-day time horizon using historical simulation based on daily market data for the previous twelve months. source

Impact estimates