21 unchanged sentences
Simulation analysis involves projecting a future balance sheet structure and interest income and expense under the various rate scenarios.
−Removed: Internal policy regarding internal rate risk simulations currently specifies that for instantaneous parallel shifts of the yield curve, estimated net interest income at risk for the subsequent one-year period
−Removed: should not decline by more than:
+Added: Internal policy regarding internal rate risk simulations currently specifies that for instantaneous parallel shifts of the yield curve, estimated net interest income at risk for the subsequent one-year period should not decline by more than:
6% for a 100 basis point shift;
42 unchanged sentences
While ALCO reviews and updates simulation assumptions and also periodically back-tests the simulation results to ensure that the assumptions are reasonable and current, income simulation may not always prove to be an accurate indicator of interest rate risk or future net interest margin.
−Removed: Over time, the repricing, maturity and prepayment characteristics of financial instruments
−Removed: and the composition of our balance sheet may change to a different d egree than estimated.
+Added: Over time, the repricing, maturity and prepayment characteristics of financial instruments and the composition of our balance sheet may change to a different d egree than estimated.
ALCO recognizes that deposit balances could shift into higher yielding alternatives as market rates change.
3 unchanged sentences
Income simulation results assume that changes in both core savings deposit rates and balances are related to changes in short-term interest rates.
−Removed: Lastly, mortgage-backed securities and mortgage loans involve a level of risk that unforeseen changes in prepayment speeds may cause related cash flows to vary significantly in differing rate environments.
+Added: Lastly, mortgage-backed securities and
+Added: mortgage loans involve a level of risk that unforeseen changes in prepayment speeds may cause related cash flows to vary significantly in differing rate environments.
Such changes could affect the level of reinvestment risk associated with cash flow from these instruments, as well as their market value.
8 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.