2 unchanged sentences
These changes may be the result of various factors, including interest rates, foreign exchange rates, commodity prices, or equity prices.
−Removed: Additionally, the financial instruments subject to market risk can be classified either as held for trading purposes or held for other than trading.
+Added: The financial instruments subject to market risk can be classified either as held for trading purposes or held for purposes other than trading.
We are subject to market risk primarily through the effect of changes in interest rates on our portfolio of assets held for purposes other than trading.
9 unchanged sentences
Our interest rate sensitivity is illustrated in the following table.
−Removed: The table reflects rate-sensitive positions as of March 31, 2022 and is not necessarily indicative of positions on other dates.
+Added: The table reflects rate-sensitive positions as of June 30, 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: March 31, 2022
+Added: June 30, 2022
(in thousands) 0-3 month
5 unchanged sentences
Investment securities(1) 48,182 1,533 243,532 3,259,452 3,552,699
−Removed: Total variable loans 18,758,901 103,979 27,640 270,758 19,161,278
−Removed: Total fixed loans 260,346 1,338,040 227,872 764,568 2,590,826
+Added: Variable loans 20,857,027 104,330 47,163 268,883 21,277,403
+Added: Fixed loans 208,705 1,521,491 210,961 927,833 2,868,990
Total loans(2) 21,065,732 1,625,821 258,124 1,196,716 24,146,393
13 unchanged sentences
(1) Available-for-sale debt securities and equity securities based on fair market value.
−Removed: (2) Total loans includes loans held for investments, stated at gross, and loans held for sale.
+Added: (2) Total loans include gross loans held for investments and loans held for sale at fair value.
While a gap interest table is useful in analyzing interest rate sensitivity, an interest rate sensitivity simulation provides a better illustration of the sensitivity of earnings to changes in interest rates.
5 unchanged sentences
The Federal Reserve’s federal funds target affects short-term borrowing;
−Removed: the prime lending rate, LIBOR and other alternative indexes are the basis for most of our variable-rate loan pricing.
+Added: the prime lending rate, Bloomberg Short Term Yield Index (“BSBY”), LIBOR and other alternative indexes are the basis for most of our variable-rate loan pricing.
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, although we may do so in the future if that appears advisable.
−Removed: 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.
−Removed: 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: Interest rate derivative contracts may be used to manage our exposure to adverse fluctuations in these primary interest rate exposures.
+Added: See Note 10 - Derivative Financial Instruments for more information on interest rate derivative contracts.
+Added: For modeling purposes, the “shock test” scenarios as of June 30, 2022 assume immediate, sustained 100 and 200 basis point increases in interest rates, as well as a 100 basis point decrease in interest rates.
+Added: As of June 30, 2021, the scenarios assumed a sustained 100 and 200 basis point increase in interest rates.
+Added: As short-term rates remained low through 2021, we did not believe that analysis of an assumed decrease in interest rates would provide meaningful results.
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.
−Removed: In the current environment of decreasing short-term rates, deposit pricing can vary by product and customer.
+Added: In the current environment of increasing short-term rates, deposit pricing can vary by product and customer.
These assumptions have been developed through a combination of historical analysis and projection of future expected pricing behavior.
4 unchanged sentences
Twelve Months as Compared to Most Likely Scenario
−Removed: March 31, 2022 March 31, 2021
−Removed: (in thousands) 100 bps Increase 200 bps Increase 100 bps Increase 200 bps Increase
+Added: June 30, 2022 June 30, 2021
+Added: (in thousands) 100 bps Increase 200 bps Increase 100 bps Decrease 100 bps Increase 200 bps Increase
Change in net interest income $ 91,461 $ 163,136 $ (114,831) $ 24,267 $ 79,342
4 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 administrator of LIBOR has proposed to extend publication of the most commonly used U.S.
+Added: The administrator of LIBOR proposed to extend publication of the most commonly used U.S.
dollar LIBOR settings to June 30, 2023 and to cease publishing other LIBOR settings on December 31, 2021.
4 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 ceased originating LIBOR-based products and began originating Bloomberg Short Term Yield Index based loans in December 2021.
+Added: Based on our transition progress to date, we ceased originating LIBOR-based products and began originating BSBY based loans in December 2021.
We are also prepared with other alternative benchmarks to support the transition from LIBOR.
2 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.