4 unchanged sentences
Interest rate changes can create fluctuations in the net interest margin due to an imbalance in the timing of repricing or maturity of assets or liabilities.
+Added: Interest rate changes can also affect the market value of our financial instruments, such as available-for-sale securities and the related unrealized gains or losses, which affects our equity value.
To mitigate interest rate risk, the structure of our assets and liabilities is managed with the objective of correlating the effects of interest rate changes on loans and investments with those of deposits and borrowings.
4 unchanged sentences
We use simulation models to measure interest rate risk and to evaluate strategies to improve profitability.
−Removed: A simplified static statement of condition is prepared on a quarterly basis as a starting point, using instrument level data of our actual loans, investments, borrowings and deposits as inputs.
−Removed: If potential changes to net equity value and net interest income resulting from hypothetical interest rate changes are not within the limits established by the Board of Directors, management may adjust the asset and liability mix to bring the risk position within approved limits or take other actions.
−Removed: At March 31, 2022, interest rate risk was within policy guidelines established by ALCO and the Board.
−Removed: One set of interest rates modeled and evaluated against flat interest rates is a series of immediate parallel shifts in the yield curve.
+Added: A simplified statement of condition is prepared on a quarterly basis as a starting point, using instrument level data of our actual loans, investments, borrowings and deposits as inputs.
+Added: If potential changes to net equity value and net interest income
+Added: resulting from hypothetical interest rate changes are not within the limits established by the Board of Directors, management may adjust the asset and liability mix to bring the risk position within approved limits or take other actions.
+Added: At June 30, 2022, interest rate risk was within policy guidelines established by ALCO and the Board.
+Added: One set of interest rates modeled and evaluated against flat interest rates and a static balance sheet is a series of immediate parallel shifts in the yield curve.
Our most recent analysis of our interest rate sensitivity is provided in the following table as an example rather than an expectation of likely interest rate movements.
5 unchanged sentences
down 100 (4.6) % (8.1) %
+Added: Asset sensitivity increased over the quarter primarily due to a reduction in our deposit betas, floating rate loans repricing above their respective floors and fully-indexed rates on adjustable loans in position to move above floors at next repricing.
Interest rate sensitivity is a function of the repricing characteristics of our assets and liabilities.
2 unchanged sentences
For example, if we choose to pay interest on certain business deposits that are currently non-interest bearing, causing those deposits to become rate sensitive in the future, we would become less asset sensitive than the model currently indicates.
−Removed: Assets and liabilities may react differently to changes in market interest rates in terms of both timing and responsiveness to market rate
−Removed: Important deposit modeling assumptions are the speed of deposit run-off and the amount by which interest-bearing deposit rates increase or decrease when market interest rates change, otherwise known as the deposit beta.
−Removed: We applied an average deposit beta of 58% to rates paid on interest-bearing deposits in rising rate scenarios, reflected in the table above.
−Removed: However, our historical beta in the prior rising rate cycle was less than half of the modeled beta and will be reflected in the next quarterly simulation model.
−Removed: Further, the actual rates and timing of prepayments on loans and investment securities could vary significantly from the assumptions applied in the various scenarios.
−Removed: Lastly, uneven changes in U.S.
−Removed: Treasury rates in different tenors that result in a change in the shape of the yield curve, such as what happened in the first quarter of 2022, could produce different results from those presented in the table.
+Added: Additionally, assets and liabilities may react differently to changes in market interest rates in terms of both timing and responsiveness to market rate movements.
+Added: Important deposit modeling assumptions include the speed of deposit run-off and the amount by which interest-bearing deposit rates increase or decrease when market interest rates change, otherwise known as the deposit beta.
+Added: We lowered the average interest-bearing deposit beta to 26% from last quarter's 58% in rising rate scenarios, which is much closer to historical levels for Bank of Marin.
+Added: The actual rates and timing of prepayments on loans and investment securities could vary significantly from the assumptions applied in the various scenarios.
+Added: Lastly, uneven changes in different tenors of U.S.
+Added: Treasury rates that result in changes to the shape of the yield curve could produce different results from those presented in the table.
Accordingly, the results presented should not be relied upon as indicative of actual results in the event of changing market interest rates.
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.