1 unchanged sentence
Many assumptions are used to calculate the impact of interest rate fluctuations on our net interest income, such as asset prepayments, non-maturity deposit price sensitivity and decay rates, and key rate drivers.
−Removed: Because of the inherent use of these estimates and assumptions in the model, our actual results may, and very likely will, differ from our static EAR results.
+Added: Because of the inherent use of these estimates and assumptions in the model, our actual results may, and very likely will, differ from our static earnings at risk (“EAR”) results.
In addition, static EAR results do not include actions that our management may undertake to manage the risks in response to anticipated changes in interest rates or client behavior.
2 unchanged sentences
IMPACT ON NET INTEREST INCOME UNDER A STATIC BALANCE SHEET, PARALLEL INTEREST RATE SHOCK
−Removed: Earnings at Risk -300 bps -200 bps -100 bps Flat +100 bps +200 bps +300 bps
+Added: Earnings at Risk -400 bps -300 bps -200 bps -100 bps Flat +100 bps +200 bps +300 bps +400 bps
December 31, 2023 0.7 % (1.4) % (2.2) % (1.4) % 0.0 % 1.3 % 2.5 % 3.7 % 4.9 %
4 unchanged sentences
ECONOMIC VALUE OF EQUITY ANALYSIS UNDER A STATIC BALANCE SHEET, PARALLEL INTEREST RATE SHOCK
−Removed: Economic Value of Equity -300 bps -200 bps -100 bps Flat +100 bps +200 bps +300 bps
+Added: Economic Value of Equity -400 bps -300 bps -200 bps -100 bps Flat +100 bps +200 bps +300 bps +400 bps
December 31, 2023 (9.8) % (4.5) % (1.1) % (0.1) % 0.0 % (0.7) % (2.0) % (2.8) % (4.0) %
6 unchanged sentences
These economic losses can be reflected as a loss of future net interest income and/or a loss of current fair market values.
−Removed: The objective is to measure the effect on net interest income and to adjust the balance sheet to mitigate the inherent risk while at the same time maximizing income.
+Added: The objective is to measure the effect on net interest income and to adjust the balance sheet to minimize the inherent risk while at the same time maximizing income.
We endeavor to manage our exposure to interest rates by structuring our balance sheet in the ordinary course of business.
We do not enter into instruments such as leveraged derivatives, financial options or financial futures contracts for the purpose of reducing interest rate risk.
−Removed: We endeavor to hedge the interest rate risks of our available for sale mortgage pipeline by using mortgage-backed securities, and short positions.
+Added: We endeavor to hedge the interest rate risks of our available for sale mortgage pipeline by using MBS, and short positions.
Based on the nature of our operations, we are not subject to foreign exchange or commodity price risk.
1 unchanged sentence
Our exposure to interest rate risk is managed by the Bank’s Asset/Liability Management Committee (“ALCO”) in accordance with policies approved by our board of directors.
−Removed: The committee formulates strategies based on perceived levels of interest rate risk.
+Added: The ALCO formulates strategies based on perceived levels of interest rate risk.
In determining the appropriate level of interest rate risk, the committee considers the impact on earnings and capital of the current outlook for interest rates, potential changes in interest rates, regional economies, liquidity, business strategies and other factors.
−Removed: The committee meets regularly to review, among other things, the sensitivity of assets and liabilities to interest rate changes, the book and market values of assets and liabilities, unrealized gains and losses, purchase and sale activities, commitments to originate loans and the maturities of investments and borrowings.
−Removed: Additionally, the committee reviews liquidity, cash flow flexibility, maturities of deposits and consumer and commercial deposit activity.
+Added: The ALCO meets regularly to review, among other things, the sensitivity of assets and liabilities to interest rate changes, the book and market values of assets and liabilities, unrealized gains and losses, purchase and sale activities, commitments to originate loans and the maturities of investments and borrowings.
+Added: Additionally, the ALCO reviews liquidity, capital planning, cash flow flexibility, maturities of deposits and consumer and commercial deposit activity.
Management employs methodologies to manage interest rate risk, which include an analysis of relationships between interest earning assets and interest-bearing liabilities and an interest rate shock simulation model.
2 unchanged sentences
INTEREST SENSITIVITY GAP
−Removed: December 31, 2022 Within One Month After One Month Through Three Months After Three Through Twelve Months Within One Year Greater Than One Year Total
+Added: December 31, 2023 Within One Month After One Month Through Three Months After Three Through Twelve Months Within One Year Greater Than One Year or Non-Sensitive Total
(in thousands)
22 unchanged sentences
_______________
−Removed: (1) Includes loans held for sale.
−Removed: We use quarterly Earnings at Risk (“EAR”) simulations to assess the impact of changing interest rates on our earnings under a variety of scenarios and time horizons.
+Added: (1) Includes loans held for sale and loans made under the SBA-PPP loan program.
+Added: We use quarterly EAR simulations to assess the impact of changing interest rates on our earnings under a variety of scenarios and time horizons.
These simulations utilize both instantaneous and parallel changes in the level of interest rates, as well as non-parallel changes such as changing slopes and twists of the yield curve.
1 unchanged sentence
Dynamic simulation models are also utilized that rely on assumptions regarding changes in existing lines of business, new business, and changes in management and client behavior.
−Removed: We also use economic value-based methodologies to measure the degree to which the economic values of the Bank’s positions change under different interest rate scenarios.
+Added: We also use economic value-based methodologies to estimate the degree to which the economic values of the Bank’s positions change under different interest rate scenarios.
The economic-value approach focuses on a longer-term time horizon and endeavors to capture all future cash flows expected from existing assets and liabilities.
2 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.