4 unchanged sentences
The Bank's ALCO is responsible for reviewing the interest rate sensitivity position of the Company and establishing policies to monitor and limit exposure to interest rate risk.
−Removed: All guidelines and policies established by ALCO have been approved by the Board of Directors.
+Added: All guidelines and policies established by the ALCO have been approved by the Board of Directors.
Asset/Liability Management
−Removed: The primary goal of asset/liability management is to maximize net interest income within the interest rate risk limits set by ALCO.
+Added: The primary goal of asset/liability management is to maximize net interest income within the interest rate risk limits set by the ALCO.
Interest rate risk is monitored through the use of two complementary measures:
4 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, 2023 was (9.47)% of total assets compared to (5.60)% of total assets at December 31, 2022.
+Added: The Company's cumulative one-year gap at March 31, 2024 was (19.87)% of total assets compared to (11.54)% of total assets at December 31, 2023.
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, 2023, is presented in the following table:
+Added: A summary of the Company's static gap, as of March 31, 2024, is presented in the following table:
0-90 90-365 1-5 5+
24 unchanged sentences
term rates gradually increase by two percentage points.
−Removed: The Company's modeling as of September 30, 2023 projects net interest income would increase by approximately 2.8% if short-term rates affected by FOMC actions fall gradually by two percentage points over the next year, and would increase by approximately 1.7% if short term rates gradually fall by one percentage point over the next year;
+Added: The Company's modeling as of March 31, 2024 projects net interest income would increase by approximately 4.1% if short-term rates affected by FOMC actions fall gradually by two percentage points over the next year, and would increase by approximately 1.9% if short term rates gradually fall by one percentage point over the next year;
net interest income would decrease by approximately 7.3% if rates rise gradually by two percentage points over the next year.
−Removed: Each scenario is 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.
+Added: Each scenario is within the 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.
1 unchanged sentence
net interest income would be lower than that earned in a stable rate environment by 2.0% in a two percentage point rising rate scenario, when compared to the year-one base scenario.
−Removed: 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 September 30, 2023 and December 31, 2022 is presented in the following table:
−Removed: Changes in Net Interest Income September 30, 2023 December 31, 2022
+Added: Each year two scenario is well within the ALCO's policy limit of a decrease of no more than 20% given a 2.0% move in interest rates, up or down.
+Added: A summary of the Bank's interest rate risk simulation modeling, as of March 31, 2024 and December 31, 2023 is presented in the following table:
+Added: Changes in Net Interest Income March 31, 2024 December 31, 2023
Projected change if rates decrease by 1.0% 1.9% 2.0%
9 unchanged sentences
Non-contractual deposit volatility and pricing are assumed to follow historical patterns.
−Removed: The sensitivities of key assumptions are analyzed annually and reviewed by ALCO.
+Added: The sensitivities of key assumptions are analyzed annually and reviewed by the ALCO.
This sensitivity analysis does not represent a Company forecast and should not be relied upon as being indicative of expected operating results.
5 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, 2023, the Company was using interest rate swaps for interest rate risk management.
+Added: As of March 31, 2024, 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, 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 March 31, 2024, 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.
−Removed: Cessation of LIBOR
−Removed: 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.
−Removed: 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.
−Removed: The necessary actions to amend these legacy contracts to incorporate the new replacement reference rate index was completed in 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.