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 June 30, 2020 was 1.08% of total assets compared to -5.96% of total assets at December 31, 2019.
+Added: The Company's cumulative one-year gap at September 30, 2020 was 7.30% 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 June 30, 2020, is presented in the following table:
+Added: A summary of the Company's static gap, as of September 30, 2020, is presented in the following table:
0-90 90-365 1-5 5+
22 unchanged sentences
This analysis is also most useful in determining the short-run earnings exposures to changes in customer behavior involving loan payments and deposit additions and withdrawals.
−Removed: The Company's most recent simulation model projects net interest income would decrease by approximately 0.1% of stable-rate net interest income if short-term rates affected by Federal Open Market Committee actions fall gradually by one percentage point over the next year, and decrease by approximately 0.1% if rates rise gradually by two percentage points.
+Added: The Company's most recent simulation model projects net interest income would decrease by approximately 0.4% of stable-rate net interest income if short-term rates affected by Federal Open Market Committee actions fall gradually by one percentage point over the next year, and increase by approximately 0.8% if rates rise gradually by two percentage points.
Both scenarios are well within ALCO's policy limit of a decrease in net interest income of no more than 10.0% given a 2.0% move in interest rates, up or down.
Management believes this reflects a reasonable interest rate risk position.
−Removed: 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 June 30, 2020 and December 31, 2019 is presented in the following table:
−Removed: Changes in Net Interest Income June 30, 2020 December 31, 2019
+Added: 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 3.0% in a falling-rate scenario, and higher than that earned in a stable rate environment by 0.9% in a rising rate scenario, when compared to the year-one base scenario.
+Added: A summary of the Bank's interest rate risk simulation modeling, as of September 30, 2020 and December 31, 2019 is presented in the following table:
+Added: Changes in Net Interest Income September 30, 2020 December 31, 2019
Projected change if rates decrease by 1.0% -0.4% 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 June 30, 2020, the Company was using interest rate swaps for interest rate risk management.
+Added: As of September 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 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.
+Added: As of September 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%.
7 unchanged sentences
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.
−Removed: 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
−Removed: to December 31, 2021;
+Added: Of the interest rate swap contracts the Bank has in place as of September 30, 2020, two contracts carrying a total notional amount of $50 million are set to mature
+Added: prior to December 31, 2021;
nine contracts with a total notional amount of $210 million have maturity dates beyond December 31, 2021.
−Removed: The three customer loan swap contracts have maturity dates of December 19, 2029, July 1, 2035 and October 1, 2039.
+Added: The four customer loan swap contracts have maturity dates of December 19, 2029, August 21, 2030, 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.