14 unchanged sentences
NII rate shock simulation results are compared to a base case NII result to provide an estimate of the impact that simulated market rate changes may have on 12 months and 24 months of pretax NII.
−Removed: The base case earnings scenario together with various rate shock earning scenarios are model utilizing both a static and growth balance sheet.
+Added: The base case earnings scenario together with various rate shock earning scenarios are modeled utilizing both a static and growth balance sheet.
A static balance sheet is a no-growth balance sheet in which all maturing and/or repricing cash flows are reinvested in the same product at the existing product spread over a prescribed index.
2 unchanged sentences
We have temporarily suspended the -200, -300, and -400 basis point rate shock analyses.
−Removed: Due to the low interest rate environment, we believe the impact to NII income when evaluating the -200, -300, and -400 basis point rate shock scenarios do not provide meaningful insight into our interest rate risk position.
+Added: Due to the rising interest rate environment, we believe the impact to NII income when evaluating the -200, -300, and -400 basis point rate shock scenarios do not provide meaningful insight into our interest rate risk position.
To monitor interest rate risk beyond the 24-month time horizon of rate shocks, we also perform EVE rate shock simulations using the same assumptions used in the NII rate shock simulations discussed above.
2 unchanged sentences
Market rate shock results are then compared to base case simulation results to determine the impact that market rate changes may have on our EVE.
−Removed: As with NII rate shock analyses, EVE rate shock analyses incorporate management assumptions regarding prepayment behavior of fixed rate loans and securities with embedded optionality and the behavior and value of non-maturity
−Removed: CARTER BANKSHARES, INC.
−Removed: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK (continued)
−Removed: deposit products.
+Added: As with NII rate shock analyses, EVE rate shock analyses incorporate management’s assumptions regarding prepayment behavior of fixed rate loans and securities with embedded optionality and the behavior and value of non-maturity deposit products.
Our policy guidelines limit the change in EVE given changes in rates of +/- 100, 200, 300, and 400 basis points.
2 unchanged sentences
All percentage changes presented are within prescribed ranges set by management.
−Removed: March 31, 2022 December 31, 2021
+Added: CARTER BANKSHARES, INC.
+Added: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK (continued)
+Added: June 30, 2022 December 31, 2021
Change in Interest Rate (basis points) % Change in Pretax Net Interest Income % Change in Economic Value of Equity % Change in Pretax Net Interest Income % Change in Economic Value of Equity
7 unchanged sentences
Conversely, in a declining interest rate environment, we are positioned to have decreased pretax net interest income for the same reasons discussed above.
−Removed: Based on the ALM results presented above for the quarters ending March 31, 2022 and December 31, 2021, the Company’s balance sheet is less asset sensitive at March 31, 2022 than it previously was at December 31, 2021.
+Added: Based on the ALM results presented above for the quarters ending June 30, 2022 and December 31, 2021, the Company’s balance sheet is less asset sensitive at June 30, 2022 than it previously was at December 31, 2021.
This migration in asset sensitivity is due to 1) lower yielding, floating rate excess cash positions held in federal reserve bank and interest-bearing deposits in other financial institutions that are more sensitive to future market interest rate changes which were deployed into higher yielding, fixed and floating rate securities and portfolio loans that are less sensitive to future market interest rate changes, and 2) the recent shifts in the shape of the yield curve between the two periods presented above.
−Removed: In addition to rate shocks and EVE analyses, sensitivity analyses are performed to help us identify which model assumptions are critical and cause the greatest impact on pretax net interest income.
+Added: In addition to rate shocks and EVE analyses, sensitivity analyses are performed to help us identify which model assumptions are critical and cause the greatest impact on pretax NII.
Sensitivity analyses include changing prepayment behavior of loans and securities with optionality, repricing correlations, and the impact of interest rate changes on non-maturity deposit products (decay rates).
−Removed: CARTER BANKSHARES, INC.
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.