17 unchanged sentences
While a wide variety of strategic balance sheet and treasury yield curve scenarios are tested on an ongoing basis, the following reflects the Company’s estimated NII sensitivity as compared to the base case scenario over the subsequent twelve months based on:
−Removed: ● Balance sheet levels using March 31, 2022 as a starting point.
−Removed: ● Pending acquisitions are excluded from this model.
+Added: ● Balance sheet levels using June 30, 2022 as a starting point.
● The model assumes the Company’s average deposit balances will increase approximately 1.9% over the next twelve months.
1 unchanged sentence
● Cash flows on earning assets are based on contractual maturity, optionality, and amortization schedules along with applicable prepayments derived from internal historical data and external sources.
−Removed: The model assumes that all of the remaining first draw PPP loans originated during 2020 will be forgiven and repayment of all of the balances would occur over the next 9 months.
−Removed: The majority of the second draw PPP loans originated in 2021 are projected to be forgiven and repaid over the next 9 months.
+Added: The model assumes that the majority of remaining PPP loans will be forgiven and repayment of the balances would occur over the remaining two quarters of 2022.
All other loan balances are generally projected to increase modestly throughout the forecast period.
−Removed: ● As of March 31, 2022, cash equivalents were just over $840 million.
−Removed: The model assumes approximately 22% of the excess cash and cash flows from investment contractual maturities and prepayments, estimated at $250 million, are to be invested in long-term securities over the next nine months.
+Added: ● The model assumes no additional investment security purchases over the next twelve months.
● In the rising rates scenarios, the prime rate and federal funds rates are assumed to move up by the amounts listed below over a 12-month period while moving the long end of the treasury curve to spreads over the three month treasury that are more consistent with historical norms based on the last three years (normalized yield curve).
Deposit rates are assumed to move in a manner that reflects the historical relationship between deposit rate movement and changes in the federal funds rate.
−Removed: In the -100 basis point model, the prime and federal funds rates are dropped 25 basis points each and held at those levels, and the treasury curve assumes the same slope as the rising rate scenarios, with all points normalizing off of the three month treasury rate of 25 basis points.
+Added: In the -100 basis point model, the prime and federal funds rates are dropped one hundred basis points each, and the treasury curve assumes the same slope as the rising rate scenarios, with all points normalizing off of the three month treasury rate, which is lowered by one hundred basis points from the flat rate scenario.
Net Interest Income Sensitivity Model
1 unchanged sentence
(decrease) in projected net interest
−Removed: income at March 31, 2022
+Added: income at June 30, 2022
Interest rate scenario
3 unchanged sentences
-100 basis points
−Removed: Projected NII over the 12-month forecast period increases in the rising rate environments largely due to higher rates earned on significant levels of cash equivalents, investment purchases, and assumed higher rates on new loans and a portion of variable and adjustable rate loans.
+Added: Projected NII over the 12-month forecast period increases in the rising rate environments largely due to assumed higher rates on new loans, and assumed higher repricing rates on variable and adjustable rate loans.
These increases are partially offset by anticipated increases in deposit and borrowing costs.
1 unchanged sentence
In the -100 basis points scenario, the Company shows interest rate risk exposure to lower rates on all terms.
−Removed: During the first twelve months, net interest income declines largely due to lower assumed rates on cash equivalents, investment purchases, and loan originations and certain adjustable and variable rate loans.
+Added: During the first twelve months, net interest income declines largely due to lower assumed rates on loan originations, and certain adjustable and variable rate loans.
Modestly lower funding costs associated with deposits and borrowings only partially offset a small proportion of the decrease in interest income.
5 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.