13 unchanged sentences
A gap is defined as the difference between the principal amount of assets and liabilities that reprice within a specified time period.
−Removed: The Company's cumulative one-year gap at March 31, 2020 was - 5.08% of total assets compared to - 5.96% of total assets at December 31, 2019 .
+Added: The Company's cumulative one-year gap at June 30, 2020 was 1.08% of total assets compared to -5.96% of total assets at December 31, 2019.
Core deposits with non-contractual maturities are presented based upon historical patterns of balance attrition and pricing behavior, which are reviewed at least annually.
1 unchanged sentence
Mortgage prepayments are estimated by applying industry median projections of prepayment speeds to portfolio segments based on coupon range and loan age.
−Removed: A summary of the Company's static gap, as of March 31, 2020 , is presented in the following table:
+Added: A summary of the Company's static gap, as of June 30, 2020, is presented in the following table:
+Added: 0-90 90-365 1-5 5+
Dollars in thousands
+Added: Days Days Years Years
Investment securities at amortized cost (HTM) and fair value (AFS) $ 88,203 $ 164,188 $ 230,886 $ 170,185
1 unchanged sentence
Loans held for sale — — — 4,950
+Added: Loans 465,720 266,976 535,575 183,352
Other interest-earning assets 3,288 24,431 — —
Non-rate-sensitive assets 26,447 — — 92,378
+Added: Total assets 593,166 455,595 766,461 451,902
Interest-bearing deposits 546,165 253,950 200,049 584,761
2 unchanged sentences
Total liabilities and equity 719,987 304,375 289,250 953,512
+Added: Period gap $ (126,821) $ 151,220 $ 477,211 $ (501,610)
Percent of total assets (5.59) % 6.67 % 21.05 % (22.13) %
11 unchanged sentences
In year two, and assuming no additional movement in rates, the model forecasts that net interest income would be lower than that earned in a stable rate environment by 3.2% in a falling-rate scenario, and lower than that earned in a stable rate environment by 2.8% in a rising rate scenario, when compared to the year-one base scenario.
−Removed: A summary of the Bank's interest rate risk simulation modeling, as of March 31, 2020 and December 31, 2019 is presented in the following table:
−Removed: Changes in Net Interest Income
−Removed: March 31, 2020
−Removed: December 31, 2019
+Added: A summary of the Bank's interest rate risk simulation modeling, as of June 30, 2020 and December 31, 2019 is presented in the following table:
+Added: Changes in Net Interest Income June 30, 2020 December 31, 2019
Projected change if rates decrease by 1.0% -0.1% 0.2%
15 unchanged sentences
Frequently called interest rate derivatives, interest rate swaps, caps and floors have characteristics similar to securities but possess the advantages of customization of the risk-reward profile of the instrument, minimization of balance sheet leverage and improvement of liquidity.
−Removed: As of March 31, 2020 , the Company was using interest rate swaps for interest rate risk management.
+Added: As of June 30, 2020, the Company was using interest rate swaps for interest rate risk management.
The Company engages an independent consultant to periodically review its interest rate risk position, as well as the effectiveness of simulation modeling and reasonableness of assumptions used.
−Removed: As of March 31, 2020 , there were no significant differences between the views of the independent consultant and Management regarding the Company's interest rate risk exposure.
+Added: As of June 30, 2020, there were no significant differences between the views of the independent consultant and Management regarding the Company's interest rate risk exposure.
In response the the COVID-19 pandemic, the Federal Open Market Committee in March 2020 lowered its short-term benchmark interest rate by 150 basis points to a range of 0.00% to 0.25%.
2 unchanged sentences
The Company is aware that LIBOR may no longer be published after December 31, 2021.
+Added: The Federal Reserve formed the Alternative Reference Rates Committee (ARRC) to guide the transition process in the United States.
+Added: ARRC has issued a number of recommendations including the adoption of the Secured Overnight Financing Rate (SOFR) as a replacement for LIBOR.
The International Swap and Derivatives Association (ISDA), the organization that oversees and guides swap and derivatives markets and participants, continues to work on transitions and replacement rates, including having replacement rates in place before the possible cessation of LIBOR at the end of 2021, and has committed to providing more definitive recommendations later in 2020.
−Removed: The Company intends to continue to monitor these developments closely and expects to pursue the steps ultimately recommended by ISDA to provide for an orderly transition to a post-LIBOR environment.
−Removed: Of the interest rate swap contracts the Bank has in place as of March 31, 2020 , two contracts carrying a total notional amount of $50 million are set to mature prior to December 31, 2021;
−Removed: seven contracts with a total notional amount of $170 million have maturity dates beyond December 31, 2021.
−Removed: The two customer loan swap contracts have maturity dates of December 19, 2029 and October 1, 2039.
+Added: The Company has formed a working group to address the change away from LIBOR.
+Added: Management intends to continue to monitor developments from ARRC and ISDA closely, and expects to pursue the steps ultimately recommended to provide for an orderly transition to a post-LIBOR environment.
+Added: Of the interest rate swap contracts the Bank has in place as of June 30, 2020, two contracts carrying a total notional amount of $50 million are set to mature prior
+Added: to December 31, 2021;
+Added: nine contracts with a total notional amount of $210 million have maturity dates beyond December 31, 2021.
+Added: The three customer loan swap contracts have maturity dates of December 19, 2029, July 1, 2035 and October 1, 2039.
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.