31 unchanged sentences
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: For additional information
−Removed: 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 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:
−Removed: June 30, 2023 (9.7) % (11.5) % (9.9) % 6.9 %
−Removed: March 31, 2023 (8.0)
+Added: December 31, 2023 (7.1) % (13.9) % (9.2) % 5.0 %
September 30, 2023 (11.7)
Cumulative one-year gap - interest rates +200 bps at:
−Removed: June 30, 2023 (11.6)
−Removed: March 31, 2023 (8.6)
+Added: December 31, 2023 (8.3)
September 30, 2023 (11.9)
3 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 June 30, 2023, at amortized cost.
+Added: All other securities are presented based on contractual maturities, term to call dates or pre-refunding dates as of December 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.
−Removed: The decay rates (the assumed rates at which the balances of existing accounts decline) used on these accounts is based on assumptions developed from our actual experiences with these accounts.
−Removed: If all of the Bank's checking, savings, and money market accounts had been assumed to be subject to repricing within one year, interest-bearing liabilities which were estimated to mature or reprice within one year would have exceeded interest-earning assets with comparable characteristics by $3.80 billion, for a cumulative one-year gap of (36.9)% of total assets.
+Added: The decay rates (the assumed rates at which the balances of existing accounts decline) used on these accounts are based on assumptions developed from our actual experiences with these accounts.
+Added: If all of the Bank's checking, savings, and money market accounts had been assumed to be subject to repricing within one year, interest-bearing liabilities estimated to mature or reprice within one year would have exceeded interest-earning assets with comparable characteristics by $3.39 billion, for a cumulative one-year gap of (35.4)% of total assets.
(4) Borrowings exclude deferred prepayment penalty costs.
Included in this line item are $365.0 million of FHLB adjustable-rate advances tied to interest rate swaps.
−Removed: The repricing for these liabilities is projected to occur at the maturity date of each interest rate swap.
−Removed: At June 30, 2023, the Bank's gap between the amount of interest-earning assets and interest-bearing liabilities projected to reprice within one year was $(1.00) billion, or (9.7)% of total assets, compared to $(803.5) million, or (8.0)% of total assets, at March 31, 2023.
−Removed: The change in the one-year gap amount was due primarily to an increase in the amount of liability cash flows coming due in one year at June 30, 2023 compared to March 31, 2023, partially offset by an increase in the amount of asset cash flows coming due for the same time period.
−Removed: This was due primarily to an increase in the amount of certificates of deposit and borrowings scheduled to mature within one year as of June 30, 2023 compared to March 31, 2023.
−Removed: 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
−Removed: terminated early without a prepayment penalty.
−Removed: If interest rates were to increase 200 basis points, as of June 30, 2023, the Bank's one-year gap is projected to be $(1.19) billion, or (11.6)% 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 higher rate environment.
−Removed: This compares to a one-year gap of $(862.4) million, or (8.6)% of total assets, if interest rates were to have increased 200 basis points as of March 31, 2023.
+Added: The repricing of these liabilities is projected to occur at the maturity date of each interest rate swap.
+Added: At December 31, 2023, the Bank's gap between the amount of interest-earning assets and interest-bearing liabilities projected to reprice within one year was $(679.7) million, or (7.1)% of total assets, compared to $(1.19) billion, or (11.7)% of total assets, at September 30, 2023.
+Added: The change in the one-year gap amount was due to both an increase in the amount of interest-earning asset cash flows coming due in one year at December 31, 2023 and a decrease in the amount of liability cash flows coming due in one year, compared to September 30, 2023.
+Added: These changes were due, in part, to the securities strategy, which resulted in a decrease in borrowings that were coming due in one year, an increase in the balance of cash, and an increase in the amount of securities projected to reprice within one year.
+Added: These results were partially offset by an increase in certificates of deposit scheduled to mature within one year as of December 31, 2023, compared to September 30, 2023, as the Bank continued to offer its highest rate on shorter-term certificates of deposit.
+Added: 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.
+Added: If interest rates were to increase 200 basis points, as of December 31, 2023, the Bank's one-year gap is projected to be $(789.7) million, or (8.2)% of total assets.
+Added: The change in the gap compared to when there is no
+Added: change in rates was due to lower anticipated net cash flows primarily as a result of lower prepayments on mortgage-related assets in the higher rate environment.
+Added: This compares to a one-year gap of $(1.21) billion, or (11.9)% of total assets, if interest rates were to have increased 200 basis points as of September 30, 2023.
Change in Net Interest Income.
For each date presented in the following table, the estimated change in the Bank's net interest income is based on the indicated instantaneous, parallel and permanent change in interest rates.
−Removed: The change in each interest rate environment represents the difference between estimated net interest income in the 0 basis point interest rate environment ("base case," assumes the forward market and product interest rates implied by the yield curve are realized) and the estimated net interest income in each alternative interest rate environment (assumes market and product interest rates have a parallel shift in rates across all maturities by the indicated change in rates).
−Removed: Projected cash flows for each scenario are based upon varying prepayment assumptions to model likely customer behavior changes as market rates change.
+Added: The change in each interest rate environment represents the difference between estimated net interest income in the zero basis point interest rate environment ("base case," assumes the forward market and product interest rates implied by the yield curve are realized) and the estimated net interest income in each alternative interest rate environment (assumes market and product interest rates have a parallel shift in rates across all maturities by the indicated change in rates).
+Added: Projected cash flows for each scenario are based upon varying prepayment assumptions to model anticipated customer behavior changes as market rates change.
Estimations of net interest income used in preparing the table below were based upon the assumptions that the total composition of interest-earning assets and interest-bearing liabilities does not change materially and that any repricing of assets or liabilities occurs at anticipated product and market rates for the alternative rate environments as of the dates presented.
2 unchanged sentences
These do not reflect the earnings expectations of management.
+Added: Estimates for the -300 basis point scenario were not prepared at September 30, 2023.
Change Net Interest Income At
−Removed: (in Basis Points) June 30, 2023 September 30, 2022
+Added: (in Basis Points) December 31, 2023 September 30, 2023
in Interest Rates (1)
1 unchanged sentence
(Dollars in thousands)
+Added: -300 bp $ 138,290 $ (27,736) (16.7) % N/A N/A N/A
-200 bp 148,482 (17,544) (10.6) $ 126,495 $ (6,963) (5.2) %
5 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 June 30, 2023 compared to September 30, 2022 due primarily 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 faster increases in the cost of liabilities during the first nine months of fiscal year 2023, compared to the increase in asset yields.
−Removed: The increase in the cost of liabilities was due mainly to an increase in the balance and rate of the certificate of deposit portfolio, an increase in the rates paid on money market accounts, and an increase in the balance of higher-costing borrowings since September 30, 2022.
−Removed: 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.
−Removed: In the rising and declining interest rate scenarios, the variability of net interest income projections has become more significant due to the composition of the balance sheet and the elevated interest rate environment.
−Removed: At June 30, 2023, the Bank's balance of cash and cash equivalents was $329.4 million with an average yield of 4.82% compared to a balance of $49.2 million with an average yield of 1.75% at September 30, 2022.
−Removed: As a result, in each interest rate scenario, there was a greater impact on net interest income at June 30, 2023 compared to September 30, 2022 due to the higher cash balance.
−Removed: Additionally, due to compositional changes in the Bank's deposit portfolio between periods (increase in certificates of deposit and decrease in non-maturity deposits), the impact from instantaneous, parallel and permanent changes in the various interest rate scenarios was less pronounced.
−Removed: Generally, however, 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 deposit rates in the next 12 months.
−Removed: 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 12 months.
+Added: The net interest income projection was higher in the base case scenario at December 31, 2023 compared to September 30, 2023, due primarily to the securities strategy, which resulted in a decrease in borrowings, an increase in the balance of cash, and an increase in interest income projections on the Bank's securities portfolio.
+Added: These increases were partially offset by higher interest expense projections on the Bank's deposit portfolio, primarily on its retail certificates of deposit portfolio, due to increases in both the balance and rate between periods.
+Added: In both the rising and declining interest rate scenarios, variability of net interest income projections has become more significant, relative to prior periods, due primarily to the composition of the Bank's balance sheet in this elevated interest rate environment.
+Added: At December 31, 2023, the Bank's balance of cash and cash equivalents was $320.4 million compared to $245.6 million at September 30, 2023.
+Added: As a result of the $74.8 million increase in the balance of cash between periods, in each interest rate scenario, there was a greater impact on net interest income at December 31, 2023 compared to September 30, 2023.
+Added: More generally, however, increases/(decreases) in net interest income in the various interest rate scenarios are due to the degree to which loan repayments that are projected to reprice are greater/(less) than the projected change in deposit and borrowing rates in the next 12 months.
Change in MVPE.
1 unchanged sentence
The change in each interest rate environment represents the difference between the MVPE in the base case (assumes the forward market interest rates implied by the yield curve are realized) and the MVPE in each alternative interest rate environment (assumes market interest rates have a parallel shift in rates).
−Removed: Projected cash flows for each scenario are based upon varying prepayment assumptions to model likely customer behavior as market rates change.
−Removed: The estimations of the MVPE used in preparing the table below were based upon the assumptions that the total composition of interest-earning assets and interest-bearing liabilities does not change, that any repricing of assets or liabilities occurs at current product or market rates for the alternative rate environments as of the dates presented, and that different prepayment rates were used in each alternative interest rate environment.
+Added: Projected cash flows for each scenario are based upon varying prepayment assumptions to model anticipated customer behavior as market rates change.
+Added: The estimations of the MVPE used in preparing the table below were based upon the assumption that the total composition of interest-earning assets and interest-bearing liabilities do not change, that any repricing of assets or liabilities occurs at current product or market rates for the alternative rate environments as of the dates presented, and that different prepayment rates were used in each alternative interest rate environment.
The estimated MVPE results from the valuation of cash flows from financial assets and liabilities over the anticipated lives of each for each interest rate environment.
The table below presents the effects of the changes in interest rates on our assets and liabilities as they mature, repay, or reprice, as shown by the change in the MVPE for alternative interest rates.
+Added: Estimates for the -300 basis point scenario were not prepared at September 30, 2023.
Change Market Value of Portfolio Equity At
−Removed: (in Basis Points) June 30, 2023 September 30, 2022
+Added: (in Basis Points) December 31, 2023 September 30, 2023
in Interest Rates (1)
1 unchanged sentence
(Dollars in thousands)
+Added: -300 bp $ 1,208,029 $ 150,587 14.2 % N/A N/A N/A
-200 bp 1,229,286 171,844 16.3 $ 1,302,781 $ 283,093 27.8 %
5 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 June 30, 2023 compared to 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 June 30, 2023 compared to September 30, 2022 due primarily to higher MVPE at June 30, 2023.
−Removed: The higher MVPE was due, in part, to the increase in the balance of certificates of deposit and borrowings between periods, which resulted in less of an increase in the market value of those portfolios compared to September 30, 2022, coupled with an increase in the balance of the loan portfolio.
−Removed: As a result of long-term rates being relatively unchanged at each period end, the impact of interest rates on the market value of the loan portfolio was fairly muted;
−Removed: therefore, the impacts of the other factors resulted in an increase to our MVPE in the base case and led to lower sensitivity to changes in rates.
+Added: The Bank's MVPE increased from $1.02 billion at September 30, 2023 to $1.06 billion at December 31, 2023.
+Added: The increase was due primarily to significant decreases in market interest rates across all medium- and long-term tenors of the yield curve between the two dates, as well as to balance sheet changes resulting from the securities strategy.
+Added: The decrease in market interest rates, most notably in rates between 3- and 30-years, resulted in an increase in the value of the Bank's longer-term interest-earning assets more than it increased the value of its interest-bearing liabilities.
As interest rates increase, borrowers have less economic incentive to prepay or 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.
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.
−Removed: 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.
+Added: Similarly, call projections for callable agency debentures decrease as interest rates rise, which results in cash flows related to these assets moving closer to their 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 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 increasing rate scenarios, the sensitivity reflects the negative impacts of rates on the value of the Bank's loan and securities portfolios more so than on its deposit and borrowings portfolios.
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 June 30, 2023.
+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 December 31, 2023.
Yields presented for interest-earning assets include the amortization of fees, costs, premiums and discounts, which are considered adjustments to the yield.
25 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.