13 unchanged sentences
The present values are determined based upon market conditions as of the date of the analysis, as well as in alternative interest rate environments providing potential changes in the MVPE under those alternative interest rate environments.
−Removed: Net interest income is projected in the same alternative interest rate environments with both a static balance sheet and management strategies considered.
+Added: Net interest income is projected in the same alternative interest rate environments with both a static balance sheet and one with management strategies considered.
The MVPE and net interest income analyses are also conducted to estimate our sensitivity to rates for future time horizons based upon market conditions as of the date of the analysis.
10 unchanged sentences
Certain assets, such as adjustable-rate loans, have features that restrict changes in interest rates on a short-term basis and over the life of the asset.
−Removed: In the event of a change in interest rates, prepayment and early withdrawal levels would likely deviate significantly from those assumed in calculating the gap table below.
+Added: In the event of a change in interest rates, prepayment rates would likely deviate significantly from those assumed in calculating the gap table below.
A positive gap generally means more cash flows from assets are expected to reprice than cash flows from liabilities and suggests in a rising rate environment, that earnings should increase.
A negative gap generally means more cash flows from liabilities are expected to reprice than cash flows from assets and suggests, in a rising rate environment, that earnings should decrease.
−Removed: additional information regarding the impact of changes in interest rates, see the following Change in Net Interest Income and Change in MVPE discussions and tables.
+Added: For additional information
+Added: regarding the impact of changes in interest rates, see the following Change in Net Interest Income and Change in MVPE discussions and tables.
More Than More Than
22 unchanged sentences
liabilities as a percent of total Bank assets at:
+Added: March 31, 2023 (8.0) % (8.6) % (7.3) % 7.2 %
December 31, 2022 (10.3)
−Removed: September 30, 2022 (11.9)
Cumulative one-year gap - interest rates +200 bps at:
+Added: March 31, 2023 (8.6)
December 31, 2022 (10.6)
−Removed: September 30, 2022 (12.1)
(1) Adjustable-rate loans are included in the period in which the rate is next scheduled to adjust or in the period in which repayments are expected to occur, or prepayments are expected to be received, prior to their next rate adjustment, rather than in the period in which the loans are due.
2 unchanged sentences
(2) MBS reflect projected prepayments at amortized cost.
−Removed: All other securities are presented based on contractual maturities, term to call dates or pre-refunding dates as of December 31, 2022, at amortized cost.
+Added: All other securities are presented based on contractual maturities, term to call dates or pre-refunding dates as of March 31, 2023, 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, 2022, the Bank's gap between the amount of interest-earning assets and interest-bearing liabilities projected to reprice within one year was $(1.02) billion, or (10.3)% of total assets, compared to $(1.14) billion, or (11.9)% of total assets, at September 30, 2022.
−Removed: The change in the one-year gap amount was due primarily to a decrease in the amount of liability cash flows coming due in one year at December 31, 2022 compared to September 30, 2022.
−Removed: This was due primarily to a decrease in the amount of non-maturity deposits and certificates of deposit projected to mature within one year as of December 31, 2022 compared to September 30, 2022, partially offset by an increase in borrowings projected to reprice within one year as of December 31, 2022.
+Added: At March 31, 2023, the Bank's gap between the amount of interest-earning assets and interest-bearing liabilities projected to reprice within one year was $(803.5) million, or (8.0)% of total assets, compared to $(1.02) billion, or (10.3)% of total assets, at December 31, 2022.
+Added: The change in the one-year gap amount was due primarily to a decrease in the amount of liability cash flows coming due in one year at March 31, 2023 compared to December 31, 2022 and an increase in the amount of asset cash flows coming due for the same time periods.
+Added: This was due primarily to a decrease in the amount of non-maturity deposits projected by the Bank's interest rate risk model to mature within one year as of March 31, 2023 compared to December 31, 2022, partially offset by an increase in cash flows projected to be received on loans as of March 31, 2023.
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, 2022, the Bank's one-year gap is projected to be $(1.05) billion, or (10.6)% of total assets.
−Removed: The change in the gap compared to when there is no change in rates is due to lower anticipated net cash flows primarily as a result of lower prepayments on mortgage-related assets in the
−Removed: higher rate environment.
−Removed: This compares to a one-year gap of $(1.17) billion, or (12.1)% of total assets, if interest rates were to have increased 200 basis points as of September 30, 2022.
+Added: If interest rates were to increase 200 basis points, as of March 31, 2023, the Bank's one-year gap is projected to be $(862.4) million, or (8.6)% 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 as a result of lower prepayments on mortgage-related assets in the higher
+Added: rate environment.
+Added: This compares to a one-year gap of $(1.05) billion, or (10.6)% of total assets, if interest rates were to have increased 200 basis points as of December 31, 2022.
Change in Net Interest Income.
7 unchanged sentences
Change Net Interest Income At
−Removed: (in Basis Points) December 31, 2022 September 30, 2022
+Added: (in Basis Points) March 31, 2023 September 30, 2022
in Interest Rates (1)
8 unchanged sentences
(1) Assumes an instantaneous, parallel, and permanent change in interest rates at all maturities.
−Removed: The net interest income projection was lower in the base case scenario at December 31, 2022 compared to September 30, 2022 due to higher interest expense projections on the Bank's liabilities compared to the increase in the interest income projections on the Bank's assets.
−Removed: This was primarily driven by a faster increase in the cost of liabilities during the quarter ended December 31, 2022 compared to the prior quarter, which was caused by a decrease in the balance of the Bank's lower-costing retail deposits being replaced with higher-costing FHLB borrowings.
−Removed: In addition, higher short-term interest rates over the past year have resulted in a steady increase in the rate paid on the Bank's deposit portfolio during the quarter.
−Removed: This was partially offset by higher projected income on loans receivable due to a higher balance and yield on the portfolio compared to the prior quarter.
−Removed: In the rising interest rate scenarios, the cost of liabilities is projected to continue to increase at a faster pace than asset yields, resulting in a projected decrease in net interest income in these interest rate scenarios.
−Removed: In the decreasing interest rate scenarios at December 31, 2022, the net interest income projection remained relatively flat as the projected increase in mortgage-related assets repricing to lower interest rates was largely offset by liability cash flows repricing to lower interest rates as well.
+Added: The net interest income projection was lower in the base case scenario at March 31, 2023 compared to September 30, 2022 due to higher interest expense projections on the Bank's liabilities compared to the increase in the interest income projections on the Bank's assets.
+Added: This was primarily driven by a faster increase in the cost of liabilities during the first six months of fiscal year 2023 which was caused by an increase in certificates of deposit at higher rates, an increase in the rates paid on our money market accounts, and an increase in the balance of higher-costing FHLB borrowings since September 30, 2022.
+Added: This was partially offset by higher projected income on loans receivable due to a higher balance and yield on the portfolio compared to September 30, 2022.
+Added: In the rising and declining interest rate scenarios, the variability of net interest income projections is not significant.
+Added: Generally, the increase in net interest income in the rising rate scenarios is due to the degree to which loan repayments that are projected to reprice upward is greater than the projected increase in rates on deposits in the next twelve months.
+Added: In the declining rate scenarios, loan repayments are repriced at rates that do not offset the higher cost of liabilities that are not expected to reprice in the next twelve months.
Change in MVPE.
6 unchanged sentences
Change Market Value of Portfolio Equity At
−Removed: (in Basis Points) December 31, 2022 September 30, 2022
+Added: (in Basis Points) March 31, 2023 September 30, 2022
in Interest Rates (1)
8 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, 2022 and September 30, 2022 was negative in all rising interest rate scenarios.
−Removed: The negative impact to the Bank's MVPE, as a percentage change, was slightly lower at December 31, 2022 compared to September 30, 2022 due primarily to higher MVPE at December 31, 2022.
−Removed: The increase in the MVPE was due to lower mortgage rates at December 31, 2022 which resulted in an increase in the market value on the Bank's mortgage-related assets.
−Removed: In addition, the increase in short-term interest rates resulted in a decrease in the market value of the Bank's deposits compared to the prior quarter.
−Removed: The MVPE ratio continues to be negatively impacted in the rising interest rate scenarios at December 31, 2022.
+Added: The percentage change in the Bank's MVPE at March 31, 2023 and September 30, 2022 was negative in all rising interest rate scenarios.
+Added: The negative impact to the Bank's MVPE, as a percentage change, was slightly lower at March 31, 2023 compared to September 30, 2022 due primarily to higher MVPE at March 31, 2023.
+Added: The increase in the MVPE was due in part to lower long-term rates at March 31, 2023 which resulted in an increase in the market value of the Bank's loan portfolio.
+Added: In addition, the increase in the balance of certificates of deposit and borrowings during the six-month period resulted in less of an increase in the market value of the Bank's deposits compared to the prior year-end.
+Added: The offsetting impacts of these factors increased our MVPE in the base case and led to less sensitivity to changes in rates.
+Added: The MVPE ratio continues to be an important measurement for management as we consider the changes in market rates, liquidity needs and portfolio balances.
+Added: MVPE represents a long-term view of the interest sensitivity of the Bank's balance sheet while our net interest income projections inform management of the short-term impacts of pricing decisions.
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.
−Removed: As interest rates increase in the rising interest rate scenarios, repayments on mortgage-related assets are more likely to decrease and only be realized through significant changes in borrowers' lives such as divorce, death, job-related relocations, or other events as there is less economic incentive for borrowers to prepay their debt, resulting in an increase in the average life of mortgage-related assets.
+Added: As interest rates increase in the rising interest rate scenarios, prepayments on mortgage-related assets are more likely to decrease and only be realized through significant changes in borrowers' lives such as divorce, death, job-related relocations, or other events as there is less economic incentive for borrowers to prepay their debt, resulting in an increase in the average life of mortgage-related assets.
Similarly, call projections for the Bank's callable agency debentures decrease as interest rates rise, which results in cash flows related to these assets moving closer to the contractual maturity dates.
The longer expected average lives of these assets increases the sensitivity of their market value to changes in interest rates.
−Removed: In the decreasing interest rate scenarios at December 31, 2022, the Bank's MVPE increased due to a larger increase in the market value of the Bank's assets than the Bank's liabilities.
+Added: In the increasing rate scenarios, the sensitivity reflects the negative impacts of rates on the value of the Bank's loan and securities portfolio more so than on the deposit and borrowing portfolio.
+Added: In the decreasing interest rate scenarios, the Bank's MVPE increased due to a larger increase in the market value of the Bank's assets than the Bank's liabilities.
This is because the Bank's mortgage-related assets continue to have a longer duration in these interest rate scenarios which results in greater sensitivity in market value as interest rates change.
−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, 2022.
+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, 2023.
Yields presented for interest-earning assets include the amortization of fees, costs, premiums and discounts, which are considered adjustments to the yield.
27 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.