9 unchanged sentences
Therefore, 1-month LIBOR is considered a core rate in our interest rate risk analysis.
−Removed: Other interest rate changes are correlated to changes in 1-month LIBOR for analytic purposes, with higher or lower correlations based on historical relationships.
+Added: 1-month LIBOR and other rates are shocked in parallel for shock scenarios unless otherwise indicated.
In addition, key rates are modeled with a floor, which indicates how low each specific rate is likely to move in practice.
+Added: On April 1, 2021, we began offering variable-rate Private Education Loans based on the 30-day average SOFR, replacing 1-month LIBOR for new originations.
Rates are adjusted up or down via a set of scenarios that includes both rate shocks and ramps.
−Removed: Rate shocks represent an immediate and sustained change in 1-month LIBOR, with the resulting changes in other indices correlated accordingly.
−Removed: Interest rate ramps represent a linear increase in 1-month LIBOR over the course of 12 months, with the resulting changes in other indices correlated accordingly.
−Removed: The following tables summarize the potential effect on earnings over the next 24 months and the potential effect on market values of balance sheet assets and liabilities at December 31, 2021 and 2020, based upon a sensitivity analysis performed by management assuming hypothetical increases in market interest rates of 100 and 300 basis points while credit and funding spreads remain constant.
+Added: Rate shocks represent an immediate and sustained change in key rates, including both 1-month LIBOR and 30-day average SOFR, with the resulting changes in other indices correlated accordingly.
+Added: Interest rate ramps represent a linear increase in those key rates over the course of 12 months, with the resulting changes in other indices correlated accordingly.
+Added: The following table summarizes the potential effect on earnings over the next 24 months and the potential effect on market values of balance sheet assets and liabilities at December 31, 2022 and 2021, based upon a sensitivity analysis performed by management assuming hypothetical increases in market interest rates of 100 and 300 basis points and a decrease of 100 and 300 basis points while credit and funding spreads remain constant.
+Added: EAR analysis assumes a static balance sheet, with maturities of each product replaced with assumed issuance of new products of the same type.
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 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.
−Removed: 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 300-basis point downward rate shock was added to the model run for the first time in several years.
The EAR results for December 31, 2022 indicate a market risk profile of low sensitivity to rate changes, based on static balance sheet assumptions over the next two years.
−Removed: This position has increased from one year ago but is still well within our risk tolerances.
−Removed: 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: The EVE metrics demonstrate higher sensitivity than results from one year ago, but remain well within established trigger and threshold limits.
As of December 31, 2022 2021
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Points -100 Basis
−Removed: Points +300 Basis
+Added: Points -300 Basis Points +300 Basis
Points +100 Basis
Points -100 Basis
+Added: Points -300 Basis Points
EAR - Shock +3.0 % +1.0 % -1.1 % -3.7 % +5.3 % +1.9 % N/A N/A
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EVE -9.5 % -3.2 % +3.1 % +6.2 % -5.9 % -1.9 % N/A N/A
−Removed: 2021 Form 10-K — SLM CORPORATION 103
−Removed: 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.
−Removed: 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.
+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 or SOFR through derivative transactions.
+Added: 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
+Added: 102 SLM CORPORATION — 2022 Form 10-K
+Added: shocks or ramps.
Also considered is the impact of FFELP Loans, which receive floor income in low interest rate environments, and will therefore not reprice fully with interest rate shocks.
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Further, such simulations do not represent our current view of expected future interest rate movements.
−Removed: 104 SLM CORPORATION — 2021 Form 10-K
Asset and Liability Funding Gap
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Fed Funds Effective Rate daily/weekly/monthly $ — $ 1,494.9 $ (1,494.9)
−Removed: SOFR Rate monthly 1,115.1 703.4 411.7
+Added: SOFR Rate daily/weekly/monthly 2,753.3 2,830.1 (76.8)
3-month Treasury bill weekly 95.2 — 95.2
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Funding includes unswapped time deposits, liquid MMDAs swapped to fixed rates, and stockholders’ equity.
−Removed: The “Funding Gap” in the above table shows primarily mismatches in the 1-month LIBOR (monthly), fixed-rate, and Non-Discrete reset categories.
−Removed: 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.
+Added: The “Funding Gap” in the above table shows primarily mismatches in the 1-month LIBOR (monthly), fixed-rate, and Fed Funds Effective Rate categories.
+Added: Changes in the Non-Discrete reset, 1-month LIBOR, 3-month LIBOR, and SOFR Rate categories are generally quite highly correlated, and should offset each other effectively.
The funding in 3-month LIBOR bucket includes $0.3 billion of equity and the funding in the fixed-rate bucket includes $1.5 billion of equity and $0.4 billion of non-interest bearing liabilities.
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This could result in our cost of funds not moving in the same direction or with the same magnitude as the yield on our assets.
−Removed: 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: 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
2022 Form 10-K — SLM CORPORATION 103
+Added: occurred in recent years) can lead to a temporary divergence between indices, resulting in a negative impact to our earnings.
Weighted Average Life
18 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.