7 unchanged sentences
The Bank is the primary source of interest rate risk within the Company.
−Removed: At present, a significant portion of the Bank’s earning assets and a large balance of deposits are indexed to 1-month LIBOR.
−Removed: Therefore, 1-month LIBOR is considered a core rate in our interest rate risk analysis.
−Removed: 1-month LIBOR and other rates are shocked in parallel for shock scenarios unless otherwise indicated.
+Added: At December 31, 2022, a significant portion of the Bank’s earning assets and a large balance of deposits were indexed to 1-month LIBOR.
+Added: As of their first repricing date after the LIBOR Cessation Date, these legacy assets and liabilities were converted to various SOFR fallback rates plus a spread adjustment and are modeled accordingly.
+Added: 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.
−Removed: 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 key rates, including both 1-month LIBOR and 30-day average SOFR, with the resulting changes in other indices correlated accordingly.
+Added: Rate shocks represent an immediate and sustained change in key rates, including 30-day average SOFR, with the resulting changes in other indices correlated accordingly.
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.
1 unchanged sentence
EAR analysis assumes a static balance sheet, with maturities of each product replaced with assumed issuance of new products of the same type.
−Removed: 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: The 300-basis point downward rate shock was added to the model run for the first time in several years.
+Added: 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 loan sales, new assets, liabilities, commitments, or hedging instruments that may arise in the future.
The EAR results for December 31, 2023 indicate a market risk profile of low sensitivity to rate changes, based on static balance sheet assumptions over the next two years.
−Removed: The EVE metrics demonstrate higher sensitivity than results from one year ago, but remain well within established trigger and threshold limits.
+Added: The EVE metrics demonstrate higher sensitivity than historic results, including results from one year ago.
+Added: This is due to an increase in the mix of fixed-rate versus variable-rate loan disbursements, which results in our liabilities repricing more quickly than our assets over time.
+Added: Planned loan sales, which are not included in the static EVE modeling, significantly reduce this exposure.
+Added: Management is evaluating this trend to determine if further actions are necessary to manage EVE sensitivity.
As of December 31, 2023 2022
5 unchanged sentences
Points -300 Basis Points
−Removed: EAR - Shock +3.0 % +1.0 % -1.1 % -3.7 % +5.3 % +1.9 % N/A N/A
−Removed: EAR - Ramp +2.5 % +0.9 % -0.9 % -2.9 % +3.5 % +1.2 % N/A N/A
−Removed: EVE -9.5 % -3.2 % +3.1 % +6.2 % -5.9 % -1.9 % N/A N/A
−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 or SOFR 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
−Removed: 102 SLM CORPORATION — 2022 Form 10-K
−Removed: shocks or ramps.
+Added: EAR - Shock -2.9 % -0.9 % +0.7 % +1.9 % +3.0 % +1.0 % -1.1 % -3.7 %
+Added: EAR - Ramp -1.9 % -0.6 % +0.4 % +1.3 % +2.5 % +0.9 % -0.9 % -2.9 %
+Added: EVE -26.0 % -8.9 % +8.8 % +25.9 % -9.5 % -3.2 % +3.1 % +6.2 %
+Added: In the preceding tables, the interest rate sensitivity analysis reflects the balance sheet mix of fully variable SOFR and Prime-based loans, and fully variable funding, including brokered CDs that have been converted to 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 shocks or ramps.
+Added: 2023 Form 10-K — SLM CORPORATION 91
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.
14 unchanged sentences
SOFR Rate daily/weekly/monthly 7,639.0 5,020.5 2,618.5
+Added: 3-month SOFR quarterly — 251.1 (251.1)
3-month Treasury bill weekly 86.0 — 86.0
Prime monthly 0.5 — 0.5
−Removed: 3-month LIBOR quarterly — 251.1 (251.1)
−Removed: 1-month LIBOR monthly 6,550.3 2,802.7 3,747.6
−Removed: 1-month LIBOR daily 513.8 — 513.8
Non-Discrete reset (2)
8 unchanged sentences
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 Fed Funds Effective Rate categories.
−Removed: 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.
−Removed: 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.
+Added: The “Funding Gap” in the above table shows primarily mismatches in the Fed Funds Effective Rate, SOFR rate, 3-month SOFR, non-discrete reset, and fixed-rate categories.
+Added: Changes in the Fed Funds Effective Rate and the daily, weekly, and monthly SOFR categories are generally quite highly correlated, and should offset each other effectively.
+Added: The funding in the fixed-rate bucket includes $1.6 billion 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.
3 unchanged sentences
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
−Removed: 2022 Form 10-K — SLM CORPORATION 103
−Removed: 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 occurred in recent years) can lead to a temporary divergence between indices, resulting in a negative impact to our earnings.
+Added: 92 SLM CORPORATION — 2023 Form 10-K
Weighted Average Life
11 unchanged sentences
Total borrowings 3.24
−Removed: 104 SLM CORPORATION — 2022 Form 10-K
+Added: 2023 Form 10-K — SLM CORPORATION 93
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.