10 unchanged sentences
ALCO and the Board of Directors review our exposure to interest rate risk at least quarterly.
−Removed: We use simulation models to measure interest rate risk and to evaluate strategies to improve profitability.
−Removed: A simplified statement of condition is prepared on a quarterly basis as a starting point, using instrument level data of our actual loans,
−Removed: investments, borrowings and deposits as inputs.
+Added: We use simulation models to measure interest rate risk and to evaluate strategies to improve profitability in the context of policy guidelines.
+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.
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 September 30, 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 and a static balance sheet is a series of immediate parallel shifts in the yield curve.
+Added: Governing policies are subject to review by regulators and are updated to incorporate their observations and to adapt to changes in idiosyncratic and systemic risks.
+Added: At March 31, 2023, 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
+Added: 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.
6 unchanged sentences
down 200 (1.5) % (4.2) %
−Removed: Asset sensitivity decreased over the prior quarter due to loan growth, higher yielding bond purchases and an increase in the average interest-bearing deposit beta from 26% to 28%.
Interest rate sensitivity is a function of the repricing characteristics of our assets and liabilities.
−Removed: The Bank runs a combination of scenarios and sensitivities to capture the range of interest rate risk including the simulations mentioned above.
+Added: The Bank runs a combination of scenarios and sensitivities in its attempt to capture the range of interest rate risk including the simulations mentioned above.
As with any simulation model or other method of measuring interest rate risk, limitations are inherent in the process and dependent on assumptions.
−Removed: 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.
+Added: For example, lower deposit growth than modeled may cause the Bank to increase its borrowing position, thereby increasing its liability sensitivity.
Additionally, assets and liabilities may react differently to changes in market interest rates in terms of both timing and responsiveness to market rate movements.
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 applied deposit betas up to 45%, averaging 35%, to rates paid on non-maturity interest-bearing deposits in rising rate scenarios, reflected in the table above.
The actual rates and timing of prepayments on loans and investment securities could vary significantly from the assumptions applied in the various scenarios.
3 unchanged sentences
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.