8 unchanged sentences
The risk committee of the Board of Directors oversees market risk management, including the monitoring of risk measures and limits and policy guidelines, for the amount of interest rate risk and its effect on net interest income and capital.
−Removed: On July 27, 2017, the United Kingdom's Financial Conduct Authority, which regulates LIBOR, publicly announced that it intends to stop persuading or compelling banks to submit LIBOR rates after 2021.
+Added: ICE Benchmark Administration, the authorized and regulated administrator of LIBOR, ended publication of the one-week and two-month USD LIBOR tenors on December 31, 2021 and the remaining USD LIBOR tenors will end publication in June 2023.
The market transition away from LIBOR to an alternative reference rates is complex and could have a range of adverse effects on our business, consolidated financial condition and consolidated results of operations.
−Removed: For more information, see Item 1A.
−Removed: Risk Factors--Other Risks Related to Our Business.
+Added: To mitigate the uncertainty surrounding the LIBOR transition, the Bank has been utilizing specific contract language in new loan agreements beginning in 2021 that provides for changes in the index used to calculate the loan's interest rate.
+Added: Additionally, effective January 25, 2021, the Bank agreed to adhere to the Interbank Offered Rate Fallbacks Protocol as published by the International Swaps and Derivatives Association, Inc recommended by the Alternative Reference Rates Committee.
+Added: For more information, see the risk factor “We will be required to transition from the use of the LIBOR in the future” in Item 1A.
+Added: Risk Factors--Other Risks Related to Operational Matters.
Neither we, nor the Bank, maintain a trading account for any class of financial instrument, nor do we, or the Bank, engage in hedging activities or purchase high risk derivative instruments.
3 unchanged sentences
Modeling the sensitivity of net interest income is highly dependent on numerous assumptions incorporated into the modeling process.
−Removed: Key assumptions in the model include prepayment speeds on loans and investment securities, decay rates on non-maturity deposits, and pricing on investment securities, loans, deposits and borrowings.
+Added: Key assumptions in the model include prepayment speeds on loans and investment securities, repricing betas on non-maturity deposits, and pricing on investment securities, loans, and borrowings.
In order to measure the interest rate risk sensitivity as of December 31, 2022, this simulation model uses a “no balance sheet growth” assumption and assumes an instantaneous and sustained uniform change in market interest rates at all maturities.
14 unchanged sentences
Decrease in net interest income in Year 2 (10,534) (3.9) $ (18,261) (10.2) %
+Added: Modeled decrease in market interest rates of 200 basis points
+Added: Decrease in net interest income in Year 1 (16,840) (6.6) N/A (1)
+Added: Decrease in net interest income in Year 2 $ (29,942) (11.0) % N/A (1)
+Added: (1) Given the overall level of market interest rates at December 31, 2021, the "Down 200" results did not provide meaningful output and therefore were excluded.
These scenarios are based on market interest rates as of the last day of a reporting period published by independent sources that are actively traded in the open market.
−Removed: Given the overall level of market interest rates at December 31, 2021, we do not believe that the results of the "Down 200" analysis provide meaningful output and therefore have been excluded.
−Removed: For the "Down 100" scenario, the Bank's modeling assumption is that all deposit rates are floored to one or two basis points and new loan production is recalibrated to incorporate a chosen net interest spread over index.
The simulations used to manage market risk are based on numerous assumptions regarding the effect of changes in interest rates on the timing and extent of reprice characteristics, future cash flows and customer behavior.
−Removed: These assumptions are inherently uncertain and, as a result, the model cannot precisely estimate net interest income or precisely predict the impact of higher or lower net interest income.
−Removed: Actual results will differ from simulated results due to the timing, magnitude and frequency of interest rate changes as well as changes in market condition, customer behavior and management strategies, among other factors.
+Added: These assumptions are inherently uncertain and actual results will differ, as a result, the model cannot precisely estimate net interest income or precisely predict the impact of higher or lower net interest income.
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.