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The following table presents sensitivity gaps for these different intervals:
−Removed: At March 31, 2022
+Added: At June 30, 2022
(in thousands) 3 Mos.
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(3) Based on contractual maturity.
−Removed: 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.
−Removed: 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.
−Removed: Net interest income would be expected to rise in the long term if interest rates were to rise due to the Bank’s cumulative asset-sensitive position.
+Added: As of June 30, 2022, the Company is considered liability-sensitive as exhibited by the gap table and our net interest income sensitivity analysis.
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.
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This characteristic is referred to as basis risk.
−Removed: Varying interest rate environments can create unexpected changes in
−Removed: 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 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 March 31, 2022 and December 31, 2021 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 June 30, 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 March 31, 2022 At December 31, 2021
+Added: At June 30, 2022 At December 31, 2021
Change in Interest Rates
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(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 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.
−Removed: 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.
+Added: The changes in interest rate sensitivity between December 31, 2021 and June 30, 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.
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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.