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The EVE sensitivity is applied only to financial assets and liabilities, including hedging instruments, that existed at the balance sheet date, and does not reflect any impact of new assets, liabilities, commitments, or hedging instruments that may arise in the future.
−Removed: With current interest rates so low, a 100 or 300-basis point downward rate shock does not provide a meaningful indication of interest rate sensitivity, so results for those scenarios have not been presented.
−Removed: At December 31, 2020, the full impact of a 100-basis point downward rate shock cannot be modeled for some instruments on our balance sheet, due to the precipitous fall in many short-term rates since February 2020.
−Removed: The EAR results for December 31, 2020 indicate a market risk profile that is less sensitive than at December 31, 2019 to rate changes and is now at a nearly rate-neutral position for net interest income, based on static balance sheet assumptions over the next two years.
−Removed: For the year ended December 31, 2020, the increased sensitivity in the EVE risk metric is the result of an increase in fixed-rate assets on the balance sheet relative to fixed-rate liabilities and a change in the model used to perform the calculation.
−Removed: A portion of the increased sensitivity is due to portfolio structural changes as we now have a higher percentage of assets invested in fixed-rate loans and highly liquid fixed-rate securities, with underlying funding of fixed-rate liabilities of relatively shorter duration.
−Removed: In addition, several changes to the EVE calculation methodology have been made in 2020 that have caused the ratios presented below to increase.
−Removed: Significant changes in methodology have occurred with the recent implementation of a new asset and liability model, which offers capabilities to model the expected cashflows of our Private Education Loan portfolio more precisely.
−Removed: These changes have lengthened the projected remaining weighted average lives of our education loan assets.
+Added: With current interest rates very low, a 100 or 300-basis point downward rate shock does not provide a meaningful indication of interest rate sensitivity, so results for those scenarios have not been presented.
+Added: At December 31, 2021, the full impact of a 100-basis point downward rate shock cannot be modeled for some instruments on our balance sheet, due to the current low-rate environment.
+Added: The EAR results for December 31, 2021 indicate a market risk profile of low sensitivity to rate changes, based on static balance sheet assumptions over the next two years.
+Added: This position has increased from one year ago but is still well within our risk tolerances.
+Added: The EVE metrics have decreased from one year ago, mainly due to a higher level of fixed-rate liabilities relative to fixed-rate assets.
+Added: As of December 31, 2021 2020
Points +100 Basis
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Points -100 Basis
−Removed: EAR - Shock -0.6 % -0.0 % N/A +4.4 % +1.4 % -1.4 %
−Removed: EAR - Ramp -0.1 % +0.1 % N/A +3.8 % +1.1 % -0.9 %
−Removed: EVE -15.8 % -5.3 % N/A -5.0 % -1.9 % +2.0 %
−Removed: In the preceding tables, the interest rate sensitivity analysis reflects the balance sheet mix of fully variable LIBOR-based loans, and fully variable funding, including brokered CDs that have been converted to LIBOR through derivative transactions.
+Added: EAR - Shock 5.3 % 1.9 % N/A -0.6 % -0.0 % N/A
+Added: EAR - Ramp 3.5 % 1.2 % N/A -0.1 % +0.1 % N/A
+Added: EVE -5.9 % -1.9 % N/A -15.8 % -5.3 % N/A
+Added: 2021 Form 10-K — SLM CORPORATION 103
+Added: In the preceding tables, the interest rate sensitivity analysis reflects the balance sheet mix of fully variable LIBOR, SOFR, and Prime-based loans, and fully variable funding, including brokered CDs that have been converted to LIBOR through derivative transactions.
The analysis assumes that retail MMDAs and retail savings balances, while relatively sensitive to interest rate changes, will not correlate 100 percent to the full interest rate shocks or ramps.
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Further, such simulations do not represent our current view of expected future interest rate movements.
+Added: 104 SLM CORPORATION — 2021 Form 10-K
Asset and Liability Funding Gap
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(Note that all fixed-rate assets and liabilities are aggregated into one line item, which does not capture the differences in time due to maturity.)
+Added: As of December 31, 2021
(dollars in millions)
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Total $ 29,221.9 $ 29,221.9 $ —
−Removed: ______________________
(1) Funding (by index) includes all derivatives that qualify as effective hedges.
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Changes in the Fed Funds Effective Rate, 3-month LIBOR, SOFR and 1-month LIBOR daily categories are generally quite highly correlated, and should offset each other effectively.
−Removed: The funding in the fixed-rate bucket includes $2.3 billion of equity and $0.5 billion of non-interest bearing liabilities.
+Added: The funding in 3-month LIBOR bucket includes $0.3 billion of equity and the funding in the fixed-rate bucket includes $1.9 billion of equity and $0.4 billion of non-interest bearing liabilities.
We consider our overall risk to be low and our strategies are designed to maintain low to moderate levels of market exposure.
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While we believe this risk is low, as all of these indices are short-term with rate movements that are highly correlated over a long period of time, market disruptions (which have occurred in recent years) can lead to a temporary divergence between indices, resulting in a negative impact to our earnings.
+Added: 2021 Form 10-K — SLM CORPORATION 105
Weighted Average Life
The following table reflects the weighted average lives of our earning assets and liabilities at December 31, 2021.
−Removed: (Averages in Years) Life
+Added: As of December 31, 2021
+Added: (averages in years) Weighted Average Life
Earning assets
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Total borrowings 3.64
−Removed: (1) Includes the loans held for sale portfolio, as well as the loans held for investment portfolio.
+Added: 106 SLM CORPORATION — 2021 Form 10-K
Financial Statements and Supplementary Data
4 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.