18 unchanged sentences
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, 2023 as a starting point.
+Added: ● Balance sheet levels using June 30, 2023 as a starting point.
● The model assumes the Company’s average deposit balances will decrease approximately 3.3% over the next twelve months.
−Removed: ● The model assumes the Company’s average earning asset balances will decrease approximately 3.3% over the next twelve months, largely due to the maturities of certain U.S.
−Removed: Treasury debt securities.
+Added: ● The model assumes the Company’s average earning asset balances will increase approximately 1.3% over the next twelve months, largely due to forecasted loan growth.
● 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.
8 unchanged sentences
(decrease) in projected net interest
−Removed: income at March 31, 2023
−Removed: income at March 31, 2023
+Added: income at June 30, 2023
+Added: income at June 30, 2023
Interest rate scenario
4 unchanged sentences
-200 basis points
−Removed: Projected NII over the 12-month forecast period decreases in the up 200 rate environment largely due to deposits and overnight borrowings repricing higher in year 1, which are only partially offset by loans repricing higher.
−Removed: Projected NII is fairly neutral in the up 100 rate environment.
−Removed: Over the longer time period, the growth in NII begins to improve in all rising rate environments as the impact from lower yielding assets maturing and being replaced at higher rates is significantly more material than the increase in funding costs.
+Added: Projected NII over the 12-month forecast period decreases in the up 100 and up 200 rate environments largely due to deposits and overnight borrowings repricing higher in year 1, which are only partially offset by loans repricing higher.
Projected NII increases in the down 100 and down 200 rate environments due to lower funding costs which are partially offset by lower income on loans.
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.