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The following table presents sensitivity gaps for these different intervals:
−Removed: At September 30, 2021
+Added: At March 31, 2022
(in thousands) 3 Mos.
17 unchanged sentences
309,462 — — — — — — — 309,462
+Added: accounts (2 )
2,800,215 — — — — — — — 2,800,215
Certificates of deposit 199,264 246,848 315,476 149,742 4,151 — — — 915,481
+Added: FHLB advances
+Added: 273,000 — — — — — — — 273,000
Long-term debt (3)
15 unchanged sentences
(3) Based on contractual maturity.
−Removed: As of September 30, 2021, the Company is considered liability-sensitive as exhibited by the gap table but our net interest income sensitivity analysis shows positive results in the increasing interest rate scenarios.
+Added: As of March 31, 2022, the Company is considered liability-sensitive as exhibited by the gap table but our net interest income sensitivity analysis shows positive results in the increasing interest rate scenarios.
This is because of the impact of our historical deposit repricing betas which result in an assumed delay in repricing of deposits in an increasing interest rate scenario and a lower magnitude of repricing compared to the repricing of loans and other interest-earning assets.
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Changes in the mix of interest-earning assets or interest-bearing liabilities can either increase or decrease the net interest margin, without affecting interest rate sensitivity.
−Removed: In addition, the interest rate spread between an earning asset and its funding liability can vary significantly, while the timing of repricing for both the asset and the liability remains the same, thereby impacting net interest
+Added: In addition, the interest rate spread between an earning asset and its funding liability can vary significantly, while the timing of repricing for both the asset and the liability remains the same, thereby impacting net interest income.
This characteristic is referred to as basis risk.
−Removed: Varying interest rate environments can create unexpected changes in prepayment levels of assets and liabilities that are not reflected in the interest rate sensitivity analysis.
+Added: Varying interest rate environments can create unexpected changes in
+Added: prepayment levels of assets and liabilities that are not reflected in the interest rate sensitivity analysis.
These prepayments may have a significant impact on our net interest margin.
Because of these factors, an interest sensitivity gap analysis may not provide an accurate assessment of our actual exposure to changes in interest rates.
−Removed: The estimated impact on our net interest income over a time horizon of one year and the change in net portfolio value as of September 30, 2021 and December 31, 2020 are provided in the table below.
+Added: The estimated impact on our net interest income over a time horizon of one year and the change in net portfolio value as of March 31, 2022 and December 31, 2021 are provided in the table below.
For the scenarios shown, the interest rate simulation assumes an instantaneous and sustained shift in market interest rates and no change in the composition or size of the balance sheet.
−Removed: At September 30, 2021 At December 31, 2020
+Added: At March 31, 2022 At December 31, 2021
Change in Interest Rates
13 unchanged sentences
(3) This percentage change represents the impact to the net present value of equity, assuming there is no change in the structure of the balance sheet.
−Removed: At September 30, 2021, we believe our net interest income sensitivity did not exhibit a strong bias to either an increase in interest rates or a decline in interest rates.
−Removed: The changes in interest rate sensitivity between December 31, 2020 and September 30, 2021 reflected the impact of higher market interest rates, a steeper yield curve and changes to overall balance sheet composition.
+Added: At March 31, 2022, we believe our net interest income sensitivity did not exhibit a strong bias to either an increase in interest rates or a decline in interest rates.
+Added: The changes in interest rate sensitivity between December 31, 2021 and March 31, 2022 reflected the impact of higher market interest rates, a flatter yield curve and changes to overall balance sheet composition.
Some of the assumptions made in the simulation model may not materialize and unanticipated events and circumstances will occur.
2 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.