17 unchanged sentences
During a period of falling interest rates, the opposite would be true.
−Removed: As of June 30, 2023, Great Southern’s interest rate risk models indicate that, generally, rising interest rates are expected to have a positive impact on the Company’s net interest income, while declining interest rates are expected to have a negative impact on net interest income.
+Added: As of September 30, 2023, Great Southern’s interest rate risk models indicate that, generally, rising interest rates are expected to have a positive impact on the Company’s net interest income within the next twelve months, while declining interest rates are expected to have a slightly negative impact on net interest income within the next twelve months.
+Added: The negative impact of a falling Federal Funds rate and other market interest rates also falling could be more pronounced if we are not able to decrease non-maturity deposit rates accordingly.
We model various interest rate scenarios for rising and falling rates, including both parallel and non-parallel shifts in rates.
The results of our modeling indicate that net interest income is not likely to be significantly affected either positively or negatively in the first twelve months following relatively minor changes in interest rates because our portfolios are relatively well matched in a twelve-month horizon.
−Removed: In a situation where market interest rates increase significantly in a short period of time, our net interest margin increase may be more pronounced in the very near term (first one to three months), due to fairly rapid increases in LIBOR/SOFR interest rates (or their replacement rates) and “prime” interest rates.
−Removed: In a situation where market interest rates decrease
−Removed: significantly in a short period of time, as they did in March 2020, our net interest margin decrease may be more pronounced in the very near term (first one to three months), due to fairly rapid decreases in LIBOR/SOFR interest rates (or their replacement rates) and “prime” interest rates.
+Added: In a situation where market interest rates increase significantly in a short period of time, our net interest margin increase may be more pronounced in the very near term (first one to three months), due to fairly rapid increases in SOFR interest rates (or their replacement rates) and “prime” interest rates.
+Added: In a situation where market interest rates decrease significantly in a short period of time, as they did in March 2020, our net interest margin decrease may be more pronounced in the very near term (first one to three months), due to fairly rapid decreases in SOFR interest rates (or their replacement rates) and “prime” interest rates.
In the subsequent months we expect that net interest margin would stabilize and begin to improve, as renewal interest rates on maturing time deposits are expected to decrease compared to the then-current rates paid on those products.
4 unchanged sentences
This increased loan yields and expanded our net interest income and net interest margin in the latter half of 2022 and the first three months of 2023.
−Removed: While market interest rate increases are expected to result in increases to loan yields, we expect that much of this benefit will be offset by increased funding costs, including changes in the funding mix, as seen in the first half of 2023.
−Removed: In the first six months of 2023, competition for deposits was very intense, resulting in significant increases in rates paid on various deposit types.
−Removed: In addition, the Company had over $500 million of time deposits that matured and repriced to significantly higher rates in the three months ended June 30, 2023.
−Removed: Subsequent to June 30, 2023, cumulative time deposit maturities over the next 12 months are as follows:
−Removed: within three months -- $188 million;
−Removed: within six months -- $500 million;
−Removed: and within twelve months -- $1.03 billion.
−Removed: At June 30, 2023, the weighted average interest rates on these various cumulative maturities were 2.36%, 2.97% and 3.91%, respectively.
−Removed: Based on time deposit market rates in July 2023, replacement rates for these maturing time deposits are likely to be near or exceed 4.00%.
+Added: While market interest rate increases are expected to result in increases to loan yields, we expect that much of this benefit will be offset by increased funding costs, including changes in the funding mix, as seen in the first nine months of 2023.
+Added: In the first nine months of 2023, competition for deposits was very intense, resulting in significant increases in rates paid on various deposit types.
+Added: In addition, the Company had over $500 million and $188 million of time deposits that matured and repriced to significantly higher rates in the three months ended June
+Added: 30, 2023 and September 30, 2023, respectively.
+Added: Subsequent to September 30, 2023, time deposit maturities over the next 12 months are as follows:
+Added: within three months -- $354 million with a weighted-average rate of 3.16%;
+Added: within three to six months -- $352 million with a weighted-average rate of 3.88%;
+Added: and within six to twelve months -- $350 million with a weighted-average rate of 3.93%.
+Added: Based on time deposit market rates in October 2023, replacement rates for these maturing time deposits are likely to be approximately 4.25-4.75%.
The current level and shape of the interest rate yield curve poses challenges for interest rate risk management.
−Removed: Short-term market interest rates are currently higher than intermediate-term and long-term interest rates, which has caused the funding cost of various liabilities to increase more rapidly in the last six months.
Prior to its increase of 0.25% on December 16, 2015, the FRB had last changed interest rates on December 16, 2008.
7 unchanged sentences
At December 31, 2022, the Federal Funds rate was 4.50%.
−Removed: In 2023, the FRB implemented rate increases of 0.25%, 0.25% and 0.25% in February, March and May 2023, respectively.
−Removed: At June 30, 2023 the Federal Funds rate was 5.25%.
−Removed: On July 26, 2023, the FRB implemented another 0.25% rate increase, bringing the Federal Funds rate to 5.50%.
−Removed: Financial markets now expect the possibility of further increases in Federal Funds interest rates in the latter half of 2023 to be less likely.
−Removed: However, the FRB has indicated that interest rate decisions will be made at each meeting based on economic data available to the FRB at the time.
−Removed: A substantial portion of Great Southern’s loan portfolio ($499.7 million at June 30, 2023) is tied to the one-month or three-month LIBOR index and will be subject to adjustment at least once within 90 days after June 30, 2023.
−Removed: Of these loans, $499.4 million had interest rate floors.
−Removed: Great Southern’s loan portfolio also includes loans ($890.9 million at June 30, 2023) tied to various SOFR indexes that will be subject to adjustment at least once within 90 days after June 30, 2023.
−Removed: Of these loans, $890.9 million had interest rate floors.
−Removed: Great Southern also has a portfolio of loans ($769.3 million at June 30, 2023) tied to a “prime rate” of interest that will adjust immediately or within 90 days of a change to the “prime rate” of interest.
−Removed: Of these loans, $769.3 million had interest rate floors at various rates.
−Removed: Great Southern also has a portfolio of loans ($6.7 million at June 30, 2023) tied to an AMERIBOR index that will adjust immediately or within 90 days of a change to the “prime rate” of interest.
−Removed: Of these loans, $6.7 million had interest rate floors at various rates.
−Removed: At June 30, 2023, nearly all of these LIBOR/SOFR and “prime rate” loans had fully-indexed rates that were at or above their floor rate and so are expected to move fully with future market interest rate increases.
+Added: In 2023, the FRB implemented rate increases of 0.25%, 0.25%, 0.25% and 0.25% in February, March, May and July 2023, respectively.
+Added: At September 30, 2023 the Federal Funds rate was 5.50%.
+Added: Financial markets now expect the possibility of significant further increases in Federal Funds interest rates in the latter months of 2023 and into 2024 to be less likely, with interest rate decisions being made at each FRB meeting based on economic data available at the time.
+Added: However, the FRB has further indicated, and financial markets now have begun to price in, that it is likely that the Federal Funds interest rate will remain near this peak level for many months before any rate cuts occur.
+Added: Great Southern’s loan portfolio includes loans ($1.27 billion at September 30, 2023) tied to various SOFR indices that will be subject to adjustment at least once within 90 days after September 30, 2023.
+Added: All of these loans had interest rate floors at various rates.
+Added: Great Southern also has a portfolio of loans ($790.9 million at September 30, 2023) tied to a “prime rate” of interest that will adjust immediately or within 90 days of a change to the “prime rate” of interest.
+Added: All of these loans had interest rate floors at various rates.
+Added: Great Southern also has a portfolio of loans ($6.7 million at September 30, 2023) tied to an AMERIBOR index that will adjust immediately or within 90 days of a change to the “prime rate” of interest.
+Added: All of these loans had interest rate floors at various rates.
+Added: At September 30, 2023, nearly all of these SOFR and “prime rate” loans had fully-indexed rates that were at or above their floor rate and so are expected to move fully with future market interest rate increases.
Interest rate risk exposure estimates (the sensitivity gap) are not exact measures of an institution’s actual interest rate risk.
4 unchanged sentences
Management recommends and the Board of Directors sets the asset and liability policies of Great Southern, which are implemented by the Asset and Liability Committee.
−Removed: Asset and Liability Committee is chaired by the Chief Financial Officer and is comprised of members of Great Southern’s senior management.
+Added: The Asset and Liability Committee is chaired by the Chief Financial Officer and is comprised of members of Great Southern’s senior management.
The purpose of the Asset and Liability Committee is to communicate, coordinate and control asset/liability management consistent with Great Southern’s business plan and board-approved policies.
25 unchanged sentences
The notional amount of the swap is $300 million with an effective date of March 1, 2022 and a termination date of March 1, 2024.
−Removed: Under the terms of the swap, the Company will receive a fixed rate of interest of 1.6725% and will pay a floating rate of interest equal to one-month USD-LIBOR (now SOFR).
−Removed: The floating rate will be reset monthly and net settlements of interest due to/from the counterparty will also occur monthly.
+Added: Under the terms of the swap, the Company receives a fixed rate of interest of 1.6725% and pays a floating rate of interest equal to one-month USD-LIBOR (now SOFR).
+Added: The floating rate resets monthly and net settlements of interest due to/from the counterparty also occur monthly.
The initial floating rate of interest was set at 0.24143%.
−Removed: The Company will receive net interest settlements, which will be recorded as loan interest income, to the extent that the fixed rate of interest exceeds one-month USD-SOFR.
−Removed: If the USD-SOFR rate exceeds the fixed rate of interest (as it does currently), the Company will be required to pay net settlements to the counterparty and will record those net payments as a reduction of interest income on loans.
+Added: The Company receives net interest settlements, which are recorded as loan interest income, to the extent that the fixed rate of interest exceeds one-month USD-SOFR.
+Added: If the USD-SOFR rate exceeds the fixed rate of interest (as it does currently), the Company pays net settlements to the counterparty and records those net payments as a reduction of interest income on loans.
In July 2022, the Company entered into two interest rate swap transactions as part of its ongoing interest rate management strategies to hedge the risk of its floating rate loans.
The notional amount of each swap is $200 million with an effective date of May 1, 2023 and a termination date of May 1, 2028.
−Removed: Under the terms of one swap, beginning in May 2023, the Company will receive a fixed rate of interest of 2.628% and will pay a floating rate of interest equal to one-month USD-SOFR OIS.
−Removed: Under the terms of the other swap, beginning in May 2023, the Company will receive a fixed rate of interest of 5.725% and will pay a floating rate of interest equal to one-month USD-Prime.
−Removed: In each case, the floating rate will be reset monthly and net settlements of interest due to/from the counterparty will also occur monthly.
−Removed: To the extent the fixed rate of interest exceeds the floating rate of interest, the Company will receive net interest settlements, which will be recorded as loan interest income.
−Removed: If the floating rate of interest exceeds the fixed rate of interest (as it does currently), the Company will be required to pay net settlements to the counterparty and will record those net payments as a reduction of interest income on loans.
+Added: Under the terms of one swap, beginning in May 2023, the Company receives a fixed rate of interest of 2.628% and pays a floating rate of interest equal to one-month USD-SOFR OIS.
+Added: Under the terms of the other swap, beginning in May 2023, the Company receives a fixed rate of interest of 5.725% and pays a floating rate of interest equal to one-month USD-Prime.
+Added: In each case, the floating rate resets monthly and net settlements of interest due to/from the counterparty also occur monthly.
+Added: To the extent the fixed rate of interest exceeds the floating rate of interest, the Company receives net interest settlements, which are recorded as loan interest income.
+Added: If the floating rate of interest exceeds the fixed rate of interest (as it does currently), the Company pays net settlements to the counterparty and records those net payments as a reduction of interest income on loans.
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.