10 unchanged sentences
Treasuries and LIBOR (basis risk).
−Removed: Our ALCO committee establishes broad policy limits with respect to interest rate risk.
+Added: Our ALCO establishes broad policy limits with respect to interest rate risk.
ALCO establishes specific operating guidelines within the parameters of the board of directors’
26 unchanged sentences
It models gradual −200, −100, +100 and +200 basis point parallel shifts in market interest rates, implied by the forward yield curve over the next one-year period.
−Removed: We are within board policy limits for the +/-100 and +/-200 basis point scenarios.
−Removed: The NII at Risk reported at December 31, 2020, projects that our earnings are expected to be neutral to changes in interest rates over the next year.
−Removed: In recent periods, the amount of fixed rate assets increased resulting in a position shift from neutral to slightly asset sensitive.
+Added: We are within board policy limits for all rate scenarios. The NII at Risk reported at December 31, 2021, projects that our earnings are expected to be asset sensitive to changes in interest rates over the next year.
+Added: In recent periods, the amount of floating rate assets increased resulting in a position shift from neutral to asset sensitive.
Economic Value of Equity Sensitivity (Shock)
9 unchanged sentences
It models immediate −200, −100, +100 and +200 basis point parallel shifts in market interest rates.
−Removed: We are within board policy limits for the +100, +200, -100 and -200 basis point scenarios.
−Removed: The EVE reported at December 31, 2020 projects that as interest rates increase immediately, the EVE position will be expected to stay nearly flat, and if interest rates were to decrease immediately, the EVE position will be expected to decrease.
+Added: We are within board policy limits for the -100 and -200 basis point scenarios, but not the +100 and +200 basis point scenarios.
+Added: The EVE reported at December 31, 2021 projects that as interest rates increase immediately, the EVE position will be expected to increase, and if interest rates were to decrease immediately, the EVE position will be expected to decrease.
When interest rates rise, fixed rate assets generally lose economic value;
1 unchanged sentence
The opposite is true when interest rates fall.
−Removed: Management has developed a plan to bring the percent change in EVE into compliance with board policy within the next twelve months.
+Added: The out-of-compliance situation in the negative scenario is believed to be a result of rates not being able to move below zeroManagement has developed a plan to bring the percent change in EVE into compliance with board policy within the next twelve months.
Price risk represents the risk of loss arising from adverse movements in the prices of financial instruments that are carried at fair value and subject to fair value accounting.
3 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.