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 September 30, 2020 was 7.30% of total assets compared to -5.96% of total assets at December 31, 2019.
+Added: The Company's cumulative one-year gap at March 31, 2021 was 4.08% of total assets compared to 5.54% of total assets at December 31, 2020.
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 September 30, 2020, is presented in the following table:
+Added: A summary of the Company's static gap, as of March 31, 2021, is presented in the following table:
0-90 90-365 1-5 5+
26 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 9.3% in a falling-rate scenario, and higher than that earned in a stable rate environment by 1.0% 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 September 30, 2020 and December 31, 2019 is presented in the following table:
−Removed: Changes in Net Interest Income September 30, 2020 December 31, 2019
+Added: A summary of the Bank's interest rate risk simulation modeling, as of March 31, 2021 and December 31, 2020 is presented in the following table:
+Added: Changes in Net Interest Income March 31, 2021 December 31, 2020
Projected change if rates decrease by 1.0% -1.5% -1.4%
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 September 30, 2020, the Company was using interest rate swaps for interest rate risk management.
+Added: As of March 31, 2021, 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 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.
−Removed: 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%.
−Removed: Management expects that short-term interest rates are likely to remain in this range for at least the next several quarters, and believes that the current level of interest rate risk is acceptable.
+Added: As of March 31, 2021, there were no significant differences between the views of the independent consultant and Management regarding the Company's interest rate risk exposure.
+Added: Management expects interest rates will increase slightly in the next year and believes that the current level of interest risk is acceptable.
Cessation of LIBOR
−Removed: The Company is aware that LIBOR may no longer be published after December 31, 2021.
+Added: The Company is aware that certain tenors of USD LIBOR may no longer be published after December 31, 2021, while other tenors are expected to continue being published until June 30, 2023.
The Federal Reserve formed the Alternative Reference Rates Committee (ARRC) to guide the transition process in the United States.
ARRC has issued a number of recommendations including the adoption of the Secured Overnight Financing Rate (SOFR) as a replacement for LIBOR.
−Removed: 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.
+Added: 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 recently issued a voluntary fallback protocol for market participants.
The Company has formed a working group to address the change away from LIBOR.
−Removed: 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 September 30, 2020, two contracts carrying a total notional amount of $50 million are set to mature
−Removed: prior to December 31, 2021;
−Removed: nine contracts with a total notional amount of $210 million have maturity dates beyond December 31, 2021.
−Removed: The four customer loan swap contracts have maturity dates of December 19, 2029, August 21, 2030, July 1, 2035 and October 1, 2039.
+Added: Management intends to continue to monitor developments from ARRC and ISDA, along with guidance from US banking regulators, closely, and expects to pursue the steps ultimately recommended to provide for an orderly transition to a post-LIBOR environment.
+Added: Each of the interest rate swap contracts the Company has in place as of March 31, 2021 is tied to a LIBOR tenor expected to be published until June 2023.
+Added: Two contracts carrying a total notional value of $50 million are set to mature in 2021;
+Added: two additional contracts with a total notional value of $45 million mature prior to June 30, 2023, and an additional seven contracts with a total notional amount of $165 million have
+Added: maturity dates beyond June 30, 2023.
+Added: Six customer loan swap contracts have maturity dates of December 19, 2029, August 21, 2030, April 30, 2031, July 1, 2035, October 1, 2035 and April 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.