9 unchanged sentences
Modeling the sensitivity of NII and EVE to changes in market interest rates is highly dependent on the assumptions incorporated into the modeling process, especially those pertaining to non-maturity deposit accounts.
−Removed: In the Company’s standard model, it incorporates deposit betas ranging from 30% to 70% related to its savings and money market non-maturity deposit products.
+Added: In the Company’s standard model, it incorporates deposit betas ranging from 30% to 70% (100% for certain products) in up-rate scenarios related to its savings and money market non-maturity deposit products.
These assumptions are reviewed and refined on an ongoing basis by the Company.
1 unchanged sentence
The Company utilizes implied forward rates as its base case scenario which reflects market expectations for interest rates over the next 24 months.
−Removed: Presented below is the estimated impact on the Company’s NII and EVE position as of June 30, 2022, assuming a static balance sheet and instantaneous parallel shifts in interest rates:
+Added: Presented below is the estimated impact on the Company’s NII and EVE position as of September 30, 2022, assuming a static balance sheet and instantaneous parallel shifts in interest rates:
% Change from Base Case for Instantaneous Parallel Changes in Rates
−Removed: Implied Forward Curve -25 Basis Points Base Implied Forward Curve Implied Forward Curve +100 Basis Points Implied Forward Curve +200 Basis Points
+Added: Implied Forward Curve -200 Basis Points Implied Forward Curve -100 Basis Points Base Implied Forward Curve Implied Forward Curve +100 Basis Points Implied Forward Curve +200 Basis Points
NII - Year 1 15.17 % 9.12 % N/A (6.61 %) (13.46 %)
3 unchanged sentences
This gradual change is commonly referred to as a “rate ramp” and evenly allocates a change in interest rates over a specified time period.
−Removed: Presented below is the estimated impact on the Company’s NII and EVE position as of June 30, 2022, assuming a static balance sheet and gradual parallel shifts in interest rates:
−Removed: % Change from Base Case for Gradual Parallel Changes in Rates
−Removed: Implied Forward Curve -25 Basis Points Base Implied Forward Curve Implied Forward Curve +100 Basis Points Implied Forward Curve +200 Basis Points
+Added: Presented below is the estimated impact on the Company’s NII and EVE position as of September 30, 2022, assuming a static balance sheet and gradual parallel shifts in interest rates:
+Added: % Change from Base Case for Gradual Changes in Rates
+Added: Implied Forward Curve -200 Basis Points Implied Forward Curve -100 Basis Points Base Implied Forward Curve Implied Forward Curve +100 Basis Points Implied Forward Curve +200 Basis Points
NII - Year 1 7.18 % 3.90 % N/A (3.03 %) (6.10 %)
1 unchanged sentence
EVE 30.82 % 18.42 % N/A (17.13 %) (33.68 %)
−Removed: To supplement the Company’s standard interest rate risk model, it has also calculated its interest rate risk position assuming the deposit betas related to its savings and money market non-maturity deposit products discussed above are reduced by 50% - 55%, which approximates actual deposit pricing experience thus far in 2022.
−Removed: Presented below are the estimated impacts on the Company’s NII and EVE position as of June 30, 2022, assuming a static balance sheet and instantaneous and gradual parallel shifts in interest rates:
+Added: In the Company’s supplementary model, it incorporates deposit betas ranging from 12% to 94% in up-rate scenarios related to its savings and money market non-maturity deposit products, which approximates actual deposit pricing experience thus far in 2022.
+Added: Presented below are the estimated impacts on the Company’s NII and EVE position as of September 30, 2022, assuming a static balance sheet and instantaneous and gradual parallel shifts in interest rates:
% Change from Base Case for Instantaneous Parallel Changes in Rates
−Removed: Implied Forward Curve -25 Basis Points Base Implied Forward Curve Implied Forward Curve +100 Basis Points Implied Forward Curve +200 Basis Points
+Added: Implied Forward Curve -200 Basis Points Implied Forward Curve -100 Basis Points Base Implied Forward Curve Implied Forward Curve +100 Basis Points Implied Forward Curve +200 Basis Points
NII - Year 1 14.64 % 8.87 % N/A (5.16 %) (10.55 %)
1 unchanged sentence
EVE 30.04 % 18.93 % N/A (16.11 %) (31.78 %)
−Removed: % Change from Base Case for Gradual Parallel Changes in Rates
−Removed: Implied Forward Curve -25 Basis Points Base Implied Forward Curve Implied Forward Curve +100 Basis Points Implied Forward Curve +200 Basis Points
+Added: % Change from Base Case for Gradual Changes in Rates
+Added: Implied Forward Curve -200 Basis Points Implied Forward Curve -100 Basis Points Base Implied Forward Curve Implied Forward Curve +100 Basis Points Implied Forward Curve +200 Basis Points
NII - Year 1 6.93 % 3.73 % N/A (2.45 %) (4.93 %)
11 unchanged sentences
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.