56 unchanged sentences
liabilities as a percent of total Bank assets at:
+Added: March 31, 2024 (11.3) % (14.7) % (8.7) % 5.9 %
December 31, 2023 (7.1)
1 unchanged sentence
Cumulative one-year gap - interest rates +200 bps at:
+Added: March 31, 2024 (12.5)
December 31, 2023 (8.3)
4 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, 2023, 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, 2024, 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 of these liabilities is projected to occur at the maturity date of each interest rate swap.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−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 terminated early without a prepayment penalty.
−Removed: 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.
−Removed: The change in the gap compared to when there is no
−Removed: 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: At March 31, 2024, the Bank's gap between the amount of interest-earning assets and interest-bearing liabilities projected to reprice within one year was $(1.10) billion, or (11.3)% 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 an increase in the amount of interest-earning asset cash flows coming due in one year at March 31, 2024, partially offset by a net increase in the amount of liability cash flows coming due in one year, compared to September 30, 2023.
+Added: The increase in interest-earning assets projected to reprice within one year was due primarily to an increase in the balance of cash between periods, largely related to the securities strategy, and the amount of loans expected to mature or reprice within one year.
+Added: These increases were partially offset by a net increase in liability cash flows coming due in one year primarily related to the retail certificate of deposit portfolio, partially offset by a decrease in borrowings coming due in one year as the Bank repaid its BTFP amount outstanding in conjunction with the securities strategy.
+Added: The increase in the one year cash flow for retail certificates of deposit was due to the Bank continuing 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
+Added: terminated early without a prepayment penalty.
+Added: If interest rates were to increase 200 basis points, as of March 31, 2024, the Bank's one-year gap is projected to be $(1.21) billion, or (12.5)% of total assets.
+Added: The change in the gap compared to when there is no 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.
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.
+Added: The increase in the percentage of total assets between the two periods was due to a reduction in total assets, due primarily to the securities strategy and related transactions that occurred during the quarter ended December 31, 2023.
Change in Net Interest Income.
8 unchanged sentences
Change Net Interest Income At
−Removed: (in Basis Points) December 31, 2023 September 30, 2023
+Added: (in Basis Points) March 31, 2024 September 30, 2023
in Interest Rates (1)
9 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, 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.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: 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.
+Added: The net interest income projection was higher in the base case scenario at March 31, 2024 compared to September 30, 2023, due primarily to transactions associated with the securities strategy, which resulted in a decrease in interest expense on borrowings due to the Bank repaying the BTFP borrowing and an increase in interest income on cash and securities.
+Added: These income benefits were partially offset by higher interest expense projections on the Bank's deposit portfolio, primarily on its retail certificate 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 September 30, 2023, due primarily to the composition of the Bank's balance sheet.
+Added: For example, at March 31, 2024, the Bank's balance of cash and cash equivalents was $443.5 million compared to $245.6 million at September 30, 2023.
+Added: As a result of the $197.9 million increase in the balance of cash between periods, in each interest rate scenario, there was a greater impact on net interest income at March 31, 2024 compared to September 30, 2023.
+Added: 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.
7 unchanged sentences
Change Market Value of Portfolio Equity At
−Removed: (in Basis Points) December 31, 2023 September 30, 2023
+Added: (in Basis Points) March 31, 2024 September 30, 2023
in Interest Rates (1)
9 unchanged sentences
(1) Assumes an instantaneous, parallel, and permanent change in interest rates at all maturities.
−Removed: The Bank's MVPE increased from $1.02 billion at September 30, 2023 to $1.06 billion at December 31, 2023.
−Removed: 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.
−Removed: 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.
+Added: The Bank's MVPE increased from $1.02 billion at September 30, 2023 to $1.08 billion at March 31, 2024.
+Added: The increase was due primarily to decreases in market interest rates between the two periods, most notably across the intermediate and long-term tenors of the yield curve, as well as to balance sheet composition changes resulting from the securities strategy.
+Added: The decrease in market interest rates resulted in an increase in the value of the Bank's 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.
−Removed: 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.
+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 major events as there is less economic incentive for borrowers to prepay their debt, resulting in an increase in the average lives of mortgage-related assets.
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.
3 unchanged sentences
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, 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 March 31, 2024.
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.