7 unchanged sentences
In these scenarios, the balance sheet remains flat.
−Removed: The sensitivity of deposit balances to changes in rates is particularly difficult to estimate in low interest rate environments.
−Removed: Since the future effects of changes in rates on deposit balances cannot be known with certainty, the Company conservatively models alternate scenarios with deposit attrition as rates rise.
+Added: Because the future effects of changes in rates on deposit balances cannot be known with certainty, the Company conservatively models alternate scenarios with deposit attrition as rates rise.
Simulation B illustrates results from these higher attrition scenarios to provide added perspective on potential effects of higher rates.
1 unchanged sentence
While the future effects of rising and falling rates on deposit balances cannot be known, the Company maintains a practice of running multiple rate scenarios to better understand interest rate risk and its effect on the Company’s performance.
−Removed: Simulation A September 30, 2022 June 30, 2022
+Added: Simulation A March 31, 2023 December 31, 2022
(Dollars in millions)
7 unchanged sentences
300 basis points falling (66.5) (6.49) — (84.9) (7.78) —
−Removed: Simulation B September 30, 2022 June 30, 2022
+Added: Simulation B March 31, 2023 December 31, 2022
(Dollars in millions)
7 unchanged sentences
300 basis points falling (52.4) (5.21) 257.1 (45.6) (4.36) 792.0
−Removed: Under Simulation A, in the three rising rate scenarios and three falling rate scenarios, interest rate risk is less asset sensitive than the previous quarter, primarily due to an increase in the Federal funds rate, which increases non-maturity deposit rates.
+Added: Under Simulation A, in the three rising rate scenarios and three falling rate scenarios, interest rate risk is more negative in the up scenarios and less negative in the down scenarios than the previous quarter.
+Added: This was primarily due to a decrease in non-maturity deposits and an increase in short-term borrowings, partly offset by a decrease in investment securities and an increase in deposits at the Federal Reserve.
Deposit attrition was removed from the simulation in both the current and previous quarters.
In Simulation B, the assumed levels of deposit attrition were modeled to capture the results of a shrinking balance sheet.
−Removed: Under this Simulation, in the three rising rate scenarios and three falling rate scenarios, interest rate risk is more liability sensitive than in the previous quarter.
−Removed: This was primarily due to an increase in the Federal funds rate, which impacts surge deposit runoff and puts upward pressure on non-maturity deposit rates.
−Removed: Projecting deposit activity in a period of historically low interest rates is difficult, and the Company cannot predict how deposits will actually react to shifting rates.
+Added: Under this Simulation, in the three rising rate scenarios and three falling rate scenarios, interest rate risk is less negative in the up scenarios and more negative in the down scenarios than in the previous quarter, primarily due to a decrease in surge deposits.
The comparisons above provide insight into potential effects of changes in rates and deposit levels on net interest income.
1 unchanged sentence
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.