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, 2023 was (2.27)% of total assets compared to (5.60)% of total assets at December 31, 2022.
+Added: The Company's cumulative one-year gap at June 30, 2023 was (3.76)% of total assets compared to (5.60)% of total assets at December 31, 2022.
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, 2023, is presented in the following table:
+Added: A summary of the Company's static gap, as of June 30, 2023, is presented in the following table:
0-90 90-365 1-5 5+
17 unchanged sentences
The earnings simulation model forecasts capture the impact of changing interest rates on one-year and two-year net interest income.
−Removed: The modeling process calculates changes in interest income received and interest expense paid on all interest-earning assets and interest-bearing liabilities reflected on the Company's balance sheet.
+Added: The modeling process calculates changes in interest income received and interest expense paid on all interest-earning assets and interest-bearing liabilities reflected on the Company's consolidated balance sheet.
None of the assets used in the simulation are held for trading purposes.
3 unchanged sentences
The Company's most recent simulation model calculates projected impact on net interest income in scenarios where short-term interest rates gradually decrease by two percentage points, gradually decreases by one percentage point, and where short-
−Removed: erm rates gradually increase by two percentage points.
−Removed: The Company's modeling as of March 31, 2023 projects net interest income would be unchanged from stable-rate net interest income if short-term rates affected by Federal Open Market Committee actions fall gradually by two percentage points over the next year, and would increase by approximately 0.2% if short term gradually fall by one percentage point over the next year;
+Added: term rates gradually increase by two percentage points.
+Added: The Company's modeling as of June 30, 2023 projects net interest income would increase by approximately 0.1% if short-term rates affected by FOMC actions fall gradually by two percentage points over the next year, and would increase by approximately 0.4% if short term rates gradually fall by one percentage point over the next year;
net interest income would decrease by approximately 3.5% if rates rise gradually by two percentage points over the next year.
4 unchanged sentences
Each year two scenario is well within ALCO's policy limit of a decrease of no more than 20% given a 2.0% move in interest rates, up or down.
−Removed: A summary of the Bank's interest rate risk simulation modeling, as of March 31, 2023 and December 31, 2022 is presented in the following table:
−Removed: Changes in Net Interest Income March 31, 2023 December 31, 2022
+Added: A summary of the Bank's interest rate risk simulation modeling, as of June 30, 2023 and December 31, 2022 is presented in the following table:
+Added: Changes in Net Interest Income June 30, 2023 December 31, 2022
Projected change if rates decrease by 1.0% 0.4% 0.2%
17 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, 2023, the Company was using interest rate swaps for interest rate risk management.
+Added: As of June 30, 2023, 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, 2023, 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, 2023, there were no significant differences between the views of the independent consultant and Management regarding the Company's interest rate risk exposure.
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 1) certain tenors of USD denominated LIBOR indices ceased to be published after December 31, 2021, while other tenors are expected to continue being published until June 30, 2023, and 2) no new contracts referencing LIBOR are to be written after December 31, 2021.
−Removed: The Federal Reserve formed the ARRC to guide the transition process in the United States.
−Removed: ARRC has issued a number of recommendations including the adoption of the SOFR as a replacement for LIBOR.
−Removed: The ISDA, the organization that oversees and guides swap and derivatives markets and participants, continues to work on transitions and has issued a voluntary fallback protocol for market participants.
−Removed: The Company has adopted SOFR as its replacement reference rate index for new transactions.
−Removed: Each of the customer loan interest rate swap contracts the Company has
−Removed: in place as of March 31, 2023 is tied to a LIBOR tenor expected to be published until June 2023.
−Removed: The six contracts in place have maturity dates of December 19, 2029, August 21, 2030, April 1, 2031, July 1, 2035, October 1, 2035 and October 1, 2039.
−Removed: It is anticipated that necessary actions to amend these legacy contracts and designate a replacement reference rate index will be undertaken prior to June 30, 2023.
+Added: The Company adopted SOFR as its replacement reference rate index for each of the customer loan interest rate swap contracts that were tied to a LIBOR tenor.
+Added: The six contracts have maturity dates of December 19, 2029, August 21, 2030, April 1, 2031, July 1, 2035, October 1, 2035 and October 1, 2039.
+Added: The necessary actions to amend these legacy contracts to incorporate the new replacement reference rate index was undertaken during the second quarter 2023.
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.