15 unchanged sentences
Our interest rate sensitivity is illustrated in the following table.
−Removed: The table reflects rate-sensitive positions as of June 30, 2020 , and is not necessarily indicative of positions on other dates.
+Added: The table reflects rate-sensitive positions as of September 30, 2020 , and is not necessarily indicative of positions on other dates.
The balances of interest rate sensitive assets and liabilities are presented in the periods in which they next reprice to market rates or mature and are aggregated to show the interest rate sensitivity gap.
7 unchanged sentences
Interest Rate Sensitivity Gap Analysis
−Removed: June 30, 2020
+Added: September 30, 2020
(in thousands)
29 unchanged sentences
We are currently not using derivatives to manage our interest rate exposure although we may do so in the future if that appears advisable.
−Removed: For modeling purposes, the “shock test” scenarios as of June 30, 2019 assume immediate, sustained 100 and 200 basis point increases in interest rates and a 100 basis point decrease in interest rates.
−Removed: As short-term rates have declined during the first six months of 2020, we do not believe that analysis of an assumed decrease in interest rates would provide meaningful results.
−Removed: As such, the scenarios as of June 30, 2020 assume immediate, sustained 100 and 200 basis point increases only.
+Added: For modeling purposes, the “shock test” scenarios as of September 30, 2019 assume immediate, sustained 100 and 200 basis point increases in interest rates and a 100 basis point decrease in interest rates.
+Added: As short-term rates have declined during the first nine months of 2020, we do not believe that analysis of an assumed decrease in interest rates would provide meaningful results.
+Added: As such, the scenarios as of September 30, 2020 assume immediate, sustained 100 and 200 basis point increases only.
We will continue to evaluate these scenarios as interest rates change, until short-term rates rise above 3.0%, at which point we will resume evaluations of shock scenarios in which interest rates decrease.
7 unchanged sentences
Twelve Months as Compared to Most Likely Scenario
−Removed: June 30, 2020
−Removed: June 30, 2019
+Added: September 30, 2020
+Added: September 30, 2019
(in thousands)
11 unchanged sentences
Financial Conduct Authority announced that it would no longer compel banks to submit rates for the calculation of LIBOR after 2021.
−Removed: The impact of alternatives to LIBOR on the valuations, pricing and operation of our financial instruments is not yet known;
+Added: The full impact of alternatives to LIBOR on the valuations, pricing and operation of our financial instruments is not yet known;
however, the primary instruments that may be impacted include loans, securities, borrowings and derivatives indexed to LIBOR that mature after December 31, 2021.
We have established a working group, consisting of key stakeholders from throughout the Bank, to monitor developments relating to LIBOR uncertainty and changes and to guide the Bank's response.
−Removed: This team is currently working to gain an understanding of the specific products, information technology systems, borrowing arrangements and legal agreements that will be impacted by the change.
+Added: This team is currently working to ensure that our technology systems are prepared for the transition, our loan documents that reference LIBOR-based rates have been appropriately amended to reference other methods of interest rate determination and internal and external stakeholders are apprised of the transition.
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.