7 unchanged sentences
Foreign exchange rates, commodity prices (other than energy) and equity prices are not expected to pose significant market risk to us.
−Removed: The responsibility for managing market risk rests with the ALCO, which operates under policy guidelines established by our board of directors.
+Added: The responsibility for managing market risk rests with the Asset and Liability Management Committee (“ALCO”), which operates under policy guidelines established by our board of directors.
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 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 Executive Risk Committee, and to our Board of Directors if necessary, on a quarterly basis.
3 unchanged sentences
Our interest rate sensitivity is illustrated in the following table.
−Removed: The table reflects rate-sensitive positions as of September 30, 2021, and is not necessarily indicative of positions on other dates.
+Added: The table reflects rate-sensitive positions as of March 31, 2022 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: September 30, 2021
−Removed: (in thousands) 0-3 mo
−Removed: Balance 4-12 mo
−Removed: Balance 1-3 yr
−Removed: Balance 3+ yr
+Added: March 31, 2022
+Added: (in thousands) 0-3 month
+Added: Balance 4-12 month
+Added: Balance 1-3 year
+Added: Balance 3+ year
Balance Total
−Removed: Interest-bearing deposits in other banks, federal funds sold and securities purchased under resale agreements
−Removed: $ 8,535,051 $ — $ — $ — $ 8,535,051
+Added: Interest-bearing cash and cash equivalents $ 5,136,680 $ — $ — $ — $ 5,136,680
Investment securities(1) 53,362 1,616 262,638 3,324,399 3,642,015
7 unchanged sentences
Total interest bearing deposits 11,146,242 778,552 17,897 524 11,943,215
−Removed: Repurchase agreements, federal funds purchased, FHLB borrowings
−Removed: 2,203,470 — — — 2,203,470
+Added: Short-term borrowings 1,427,033 — — — 1,427,033
Long-term debt 270,988 — — 658,426 929,414
−Removed: Total borrowings 2,473,455 — — 658,077 3,131,532
Total interest sensitive liabilities $ 12,844,263 $ 778,552 $ 17,897 $ 658,950 $ 14,299,662
1 unchanged sentence
Cumulative GAP $ 11,365,026 $ 12,030,109 $ 12,530,362 $ 16,231,137 $ 16,231,137
−Removed: Demand deposits 14,970,462
+Added: Non-interest bearing deposits 13,434,723
Stockholders’ equity 3,090,038
Total $ 16,524,761
−Removed: (1) Investment securities based on fair market value.
+Added: (1) Available-for-sale debt securities and equity securities based on fair market value.
(2) Total loans includes loans held for investments, stated at gross, and loans held for sale.
6 unchanged sentences
The Federal Reserve’s federal funds target affects short-term borrowing;
−Removed: the prime lending rate and LIBOR are the basis for most of our variable-rate loan pricing.
−Removed: The 10-year treasury rate is also monitored because of its effect on prepayment speeds for mortgage-backed securities and MSRs.
+Added: the prime lending rate, LIBOR and other alternative indexes are the basis for most of our variable-rate loan pricing.
+Added: The 10-year treasury rate is also monitored because of its effect on prepayment speeds for mortgage-backed securities.
These are our primary interest rate exposures.
−Removed: 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.
−Removed: For modeling purposes, the “shock test” scenarios as of September 30, 2021 and 2020 assume immediate, sustained 100 and 200 basis point increases in interest rates.
−Removed: As short-term rates declined during 2020 and remain low through the first nine months of 2021, we do not believe that analysis of an assumed decrease in interest rates would provide meaningful results.
−Removed: 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.
+Added: We are currently not using derivatives to manage our interest rate exposure, although we may do so in the future if that appears advisable.
+Added: For modeling purposes, the “shock test” scenarios as of March 31, 2022 and 2021 assume immediate, sustained 100 and 200 basis point increases in interest rates.
+Added: Although short-term rates have begun to rise, they still remained low through the first three months of 2021 and 2022, and, as such, we do not believe that analysis of an assumed decrease in interest rates would provide meaningful results.
+Added: We will continue to evaluate these scenarios as interest rates change.
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: September 30, 2021 September 30, 2020
+Added: March 31, 2022 March 31, 2021
(in thousands) 100 bps Increase 200 bps Increase 100 bps Increase 200 bps Increase
12 unchanged sentences
This team is continuing to work 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.
−Removed: Based on our transition progress to date, we will be operationally ready to originate new alternative benchmark-based loans in the fourth quarter of 2021, during which time we will also cease originating LIBOR-based products.
−Removed: We will begin originating Bloomberg Short Term Yield Index based loans in December 2021, and we are prepared with other alternative benchmarks, as necessary, to support the transition from LIBOR.
−Removed: We will continue to evaluate the transition process and align our trajectory with regulatory guidelines regarding the cessation of LIBOR as well as monitor new developments for transitioning to alternative reference rates.
+Added: Based on our transition progress to date, we ceased originating LIBOR-based products and began originating Bloomberg Short Term Yield Index based loans in December 2021.
+Added: We are also prepared with other alternative benchmarks to support the transition from LIBOR.
+Added: Over the next 12 months, we will continue to transition all remaining LIBOR-based products to an alternative benchmark.
+Added: We will also continue to evaluate the transition process and align our trajectory with regulatory guidelines regarding the cessation of LIBOR as well as monitor new developments for transitioning to alternative reference rates.
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.