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The following table presents sensitivity gaps for these different intervals:
−Removed: At June 30, 2022
+Added: At September 30, 2022
(in thousands) 3 Mos.
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(3) Based on contractual maturity.
−Removed: As of June 30, 2022, the Company is considered liability-sensitive as exhibited by the gap table and our net interest income sensitivity analysis.
+Added: As of September 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.
4 unchanged sentences
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 June 30, 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 September 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 June 30, 2022 At December 31, 2021
+Added: At September 30, 2022 At December 31, 2021
Change in Interest Rates
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(1) For purposes of our model, we assume interest rates will not go below zero.
−Removed: This "floor" limits the effect of a potential negative interest rate shock in a low rate environment like the one we are currently experiencing.
+Added: This "floor" limits the effect of a potential negative interest rate shock in a low rate environment.
(2) This percentage change represents the impact to net interest income for a one-year period, assuming there is no change in the structure of the balance sheet.
(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: 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.
+Added: The changes in interest rate sensitivity between December 31, 2021 and September 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.
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.