9 unchanged sentences
The acceptable negative variation in net interest revenue due to a 100 basis point increase or decrease in interest rates is generally limited by these guidelines to plus or minus 10-12%.
−Removed: These guidelines establish maximum levels for
−Removed: short-term borrowings, short-term assets and public and brokered deposits and minimum levels for liquidity, among other things.
+Added: These guidelines establish maximum levels for short-term borrowings, short-term assets and public and brokered deposits and minimum levels for liquidity, among other things.
Oversight of our compliance with these guidelines is the ongoing responsibility of the ALCO, with exceptions reported to the Risk Management Committee, and to our board of directors if deemed necessary, on a quarterly basis.
14 unchanged sentences
December 31, 2020
−Removed: (in thousands)
+Added: (in thousands) 0-3 mo
+Added: Balance 4-12 mo
+Added: Balance 1-3 yr
+Added: Balance 3+ yr
+Added: Balance Total
Interest-bearing deposits in other banks, federal funds sold and securities purchased under resale agreements $ 9,032,807 $ — $ — $ — $ 9,032,807
5 unchanged sentences
Interest-bearing customer deposits $ 16,016,123 $ — $ — $ — $ 16,016,123
+Added: CDs & IRAs 166,858 352,776 71,782 4,929 596,345
Traditional brokered deposits 286,736 511,188 845,250 — 1,643,174
5 unchanged sentences
Total interest sensitive liabilities $ 19,581,468 $ 863,964 $ 917,032 $ 400,825 $ 21,763,289
+Added: GAP $ 11,014,367 $ 440,182 $ (10,858) $ 3,807,792 $ —
Cumulative GAP $ 11,014,367 $ 11,454,549 $ 11,443,691 $ 15,251,483 $ 15,251,483
1 unchanged sentence
Stockholders’ equity 2,871,224
+Added: Total $ 15,612,171
(1) Investment securities based on fair market value.
10 unchanged sentences
These are our primary interest rate exposures.
−Removed: 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 assume immediate, sustained 100 and 200 basis point increases in interest rates and a 100 basis point decrease in interest rates.
+Added: We are currently not using derivatives to manage our interest rate exposure, except for MSRs, although we may do so in the future if that appears advisable.
+Added: For modeling purposes, the “shock test” scenarios as of December 31, 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 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 December 31, 2020 assume immediate, sustained 100 and 200 basis point increases only.
+Added: 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.
Our interest rate risk exposure model incorporates assumptions regarding the level of interest rate on indeterminable maturity deposits (demand deposits, interest-bearing transaction accounts and savings accounts) for a given level of market rate change.
6 unchanged sentences
Twelve Months as Compared to Most Likely Scenario
−Removed: December 31, 2019
−Removed: December 31, 2018
−Removed: (in thousands)
−Removed: 100 bps Increase
−Removed: 200 bps Increase
−Removed: 100 bps Decrease
−Removed: 100 bps Increase
−Removed: 200 bps Increase
−Removed: 100 bps Decrease
+Added: December 31, 2020 December 31, 2019
+Added: (in thousands) 100 bps Increase 200 bps Increase 100 bps Increase 200 bps Increase 100 bps Decrease
Change in net interest income $ 35,286 $ 87,613 $ 93,290 $ 187,968 $ (81,988)
5 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 administrator of LIBOR has proposed to extend publication of the most commonly used U.S.
+Added: Dollar LIBOR settings to June 30, 2023 and to cease publishing other LIBOR settings on December 31, 2021.
+Added: federal banking agencies issued guidance strongly encouraging banking organizations to cease using U.S.
+Added: dollar LIBOR as a reference rate in new contracts as soon as practicable and in any event by December 31, 2021.
+Added: It is not possible to know whether LIBOR will continue to be viewed as an acceptable market benchmark, what rate or rates may become accepted alternatives to LIBOR or what the effect of any such changes in views or alternatives may have on the financial markets for LIBOR-linked financial instruments.
+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 company, 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 determinations 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.