59 unchanged sentences
liabilities as a percent of total Bank assets at:
+Added: March 31, 2022 (15.31) % (17.02) % (9.62) % 8.13 %
December 31, 2021 (9.66)
1 unchanged sentence
Cumulative one-year gap - interest rates +200 bps at:
+Added: March 31, 2022 (16.21)
December 31, 2021 (14.97)
4 unchanged sentences
(2) MBS reflect projected prepayments at amortized cost.
−Removed: Investment securities are presented based on contractual maturities, term to call dates or pre-refunding dates as of December 31, 2021, at amortized cost.
+Added: Investment securities are presented based on contractual maturities, term to call dates or pre-refunding dates as of March 31, 2022, at amortized cost.
(3) Although the Bank's checking, savings, and money market accounts are subject to immediate withdrawal, management considers a substantial amount of these accounts to be core deposits having significantly longer effective maturities.
4 unchanged sentences
The repricing for these liabilities is projected to occur at the maturity date of each interest rate swap.
−Removed: At December 31, 2021, the Bank's gap between the amount of interest-earning assets and interest-bearing liabilities projected to reprice within one year was $(928.0) million, or (9.7)% of total assets, compared to $(664.1) million, or (6.9)% of total assets, at September 30, 2021.
−Removed: The change in the one-year gap amount was due primarily to an increase in the amount of non-maturity deposits projected to reprice at December 31, 2021 compared to September 30, 2021.
−Removed: In addition, the amount of assets projected to reprice decreased due to higher interest rates at December 31, 2021 compared to September 30, 2021 which resulted in slower prepay projections on the Bank's mortgage-related assets.
−Removed: The majority of interest-earning assets anticipated to reprice in the coming year are repayments and prepayments on one- to four-family loans and MBS, both of which include the option to prepay without a fee being paid by the contract holder.
+Added: At March 31, 2022, the Bank's gap between the amount of interest-earning assets and interest-bearing liabilities projected to reprice within one year was $(1.46) billion, or (15.3)% of total assets, compared to $(928.0) million, or (9.7)% of total assets, at December 31, 2021.
+Added: The change in the one-year gap amount was due primarily to a decrease in the amount of asset cash flows projected at March 31, 2022 compared to December 31, 2021.
+Added: As interest rates rise, borrowers have less economic incentive to refinance their mortgages and agency debt issuers have less economic incentive or opportunity to exercise their call options in order to issue new debt at lower interest rates, resulting in lower projected cash flows on these assets.
The amount of interest-bearing liabilities expected to reprice in a given period is not typically significantly impacted by changes in interest rates, because the Bank's borrowings and certificate of deposit portfolios have contractual maturities and generally cannot be terminated early without a prepayment penalty.
−Removed: If interest rates were to increase 200 basis points, as of December 31, 2021, the Bank's one-year gap is projected to be $(1.44) billion, or (15.0)% of total assets.
−Removed: The change in the gap compared to when there is no change in rates is
−Removed: due to lower anticipated net cash flows primarily due to lower repayments on mortgage-related assets in the higher rate environment.
−Removed: This compares to a one-year gap of $(1.29) billion, or (13.4)% of total assets, if interest rates were to have increased 200 basis points as of September 30, 2021.
+Added: If interest rates were to increase 200 basis points, as of March 31, 2022, the Bank's
+Added: one-year gap is projected to be $(1.54) billion, or (16.2)% of total assets.
+Added: The change in the gap compared to when there is no change in rates is due to lower anticipated net cash flows primarily due to lower repayments on mortgage-related assets in the higher rate environment.
+Added: This compares to a one-year gap of $(1.44) billion, or (15.0)% of total assets, if interest rates were to have increased 200 basis points as of December 31, 2021.
Change in Net Interest Income.
8 unchanged sentences
Change Net Interest Income At
−Removed: (in Basis Points) December 31, 2021 September 30, 2021
+Added: (in Basis Points) March 31, 2022 September 30, 2021
in Interest Rates (1)
6 unchanged sentences
(1) Assumes an instantaneous, parallel, and permanent change in interest rates at all maturities.
−Removed: The net interest income projection was higher in the base case scenario at December 31, 2021 compared to September 30, 2021 due to an increase in the income projections on loans receivable and FHLB stock.
−Removed: The interest income projection on loans receivable was higher due to a higher balance and interest rates at December 31, 2021 compared to September 30, 2021.
−Removed: The increase in the dividend income projection on FHLB stock was due to an increase in the regular quarterly dividend yield on FHLB stock during the quarter ended December 31, 2021.
−Removed: Despite a negative gap, net interest income increases in all rising interest rate scenarios due to the assumption that the Bank's deposit balances are not expected to reprice to the full extent of the interest rate change.
+Added: The net interest income projection was higher in the base case scenario at March 31, 2022 compared to September 30, 2021 due to a larger increase in the income projections on the Bank's assets than the expenses projections on the Bank's liabilities.
+Added: Despite a negative gap, the net interest income projection has increased as rates have increased due to the assumption that the Bank's deposit balances are not expected to reprice to the full extent of the interest rate change.
This assumption is based on a historical analysis of the Bank's deposit pricing behavior.
+Added: As interest rates continue to increase in the interest rate shock scenarios, this impact is more than offset by a further decrease in principal prepayment projections on the Bank's mortgage-related assets.
+Added: This results in fewer assets repricing to higher interest rates and thus a decrease in the projected net interest income in the rising rate scenarios.
Change in MVPE.
7 unchanged sentences
Change Market Value of Portfolio Equity At
−Removed: (in Basis Points) December 31, 2021 September 30, 2021
+Added: (in Basis Points) March 31, 2022 September 30, 2021
in Interest Rates (1)
6 unchanged sentences
(1) Assumes an instantaneous, parallel, and permanent change in interest rates at all maturities.
−Removed: The percentage change in the Bank's MVPE at December 31, 2021 and September 30, 2021 was negative in all scenarios.
−Removed: The negative impact to the Bank's MVPE is greater at December 31, 2021 compared to September 30, 2021 due primarily to an increase in the duration of the Bank's mortgage-related assets at December 31, 2021 compared to September 30, 2021.
−Removed: This was due in part to higher interest rates at December 31, 2021.
+Added: The percentage change in the Bank's MVPE at March 31, 2022 and September 30, 2021 was negative in all scenarios.
+Added: The negative impact to the Bank's MVPE is greater at March 31, 2022 compared to September 30, 2021 due primarily to an increase in the duration of the Bank's mortgage-related assets at March 31, 2022 compared to September 30, 2021.
+Added: This was due to higher interest rates at March 31, 2022.
As interest rates increase, borrowers have less economic incentive to refinance their mortgages and agency debt issuers have less economic incentive or opportunity to exercise their call options in order to issue new debt at lower interest rates, resulting in lower projected cash flows on these assets.
3 unchanged sentences
In addition, as mortgage loans are refinanced or endorsed to lower interest rates, their average lives also increase as further prepayments are expected to be diminished.
−Removed: The following table presents the weighted average yields/rates and WALs (in years), after applying prepayment, call assumptions, and decay rates for our interest-earning assets and interest-bearing liabilities as of December 31, 2021.
+Added: The following table presents the weighted average yields/rates and WALs (in years), after applying prepayment, call assumptions, and decay rates for our interest-earning assets and interest-bearing liabilities as of March 31, 2022.
Yields presented for interest-earning assets include the amortization of fees, costs, premiums and discounts, which are considered adjustments to the yield.
15 unchanged sentences
FHLB stock 74,456 5.71 2.8 0.8
−Removed: 75,261 6.56 3.1 0.8
Cash and cash equivalents 166,869 0.26 — 1.8
7 unchanged sentences
Total interest-bearing liabilities $ 7,604,387 0.82 3.5 100.0 %
−Removed: (1) The FHLB stock yield as of December 31, 2021 includes a special year-end dividend paid by FHLB.
−Removed: Excluding this special year-end dividend, the FHLB stock yield as of December 31.2021 would have been 5.59%.
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.