6 unchanged sentences
VaR provides a consistent cross-asset measure for risk profiles and allows for diversification benefit based on historical correlations across market moves.
+Added: As of June 30, 2023, the Company’s exposure through its trading desk does not post a significant market risk to the Company.
All statistical models involve a degree of uncertainty and VaR is calculated at a statistical confidence interval of the 95 th percentile based on one-year daily historic market moves.
3 unchanged sentences
Interest Rate Risk Management
−Removed: The Company’s interest rate sensitivity as of March 31, 2023 is illustrated in the following table.
−Removed: The table reflects rate-sensitive positions as of March 31, 2023 and is not necessarily indicative of positions on other dates.
−Removed: The table does take into account the effect of the Company’s derivatives designated as cash flow hedges.
+Added: The Company’s interest rate sensitivity as of June 30, 2023 is illustrated in the following table.
+Added: The table reflects rate-sensitive positions as of June 30, 2023 and is not necessarily indicative of positions on other dates.
+Added: The table does not take into account the effect of the Company’s derivatives designated as cash flow hedges.
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.
37 unchanged sentences
Interest rate derivative contracts may be used to manage exposure to adverse fluctuations in these primary interest rate exposures as is discussed in more detail under the heading Use of Derivatives to Manage Interest Rate and Other Risks below.
−Removed: For modeling purposes, the “shock test” scenarios as of March 31, 2023 assume immediate, sustained 100 and 200 basis point increases in interest rates as well as 100 and 200 basis point decreases in interest rates.
−Removed: As of March 31, 2022, the scenarios assumed a sustained 100 and 200 basis point increase in interest rates.
−Removed: As short-term rates remained low during the first quarter of 2022, the Company did not believe that analysis of an assumed decrease in interest rates would provide meaningful results.
+Added: For modeling purposes, the “shock test” scenarios as of June 30, 2023 assume immediate, sustained 100 and 200 basis point increases in interest rates as well as 100 and 200 basis point decreases in interest rates.
+Added: As of June 30, 2022, the scenarios assumed a sustained 100 and 200 basis point increase in interest rates, as well as a 100 basis point decrease in interest rates.
The Company will continue to evaluate these scenarios as interest rates change.
−Removed: During the first quarter of 2023, the Company’s interest rate risk exposure model incorporated updated assumptions regarding the level of interest rate, including indeterminable maturity deposits (non-interest bearing deposits, interest bearing transaction accounts and savings accounts) and loan and security prepayments behaviors for a given level of market rate change.
+Added: During 2023, the Company’s interest rate risk exposure model incorporated updated assumptions regarding the level of interest rate, including indeterminable maturity deposits (non-interest bearing deposits, interest bearing transaction accounts and savings accounts) and loan and security prepayments behaviors for a given level of market rate change.
In the current environment of changing short-term rates, deposit pricing can vary by product and customer.
4 unchanged sentences
Anticipated Impact Over the Next Twelve Months as Compared to Most Likely Scenario
−Removed: March 31, 2023 March 31, 2022
−Removed: Increase Decrease Increase
−Removed: (in thousands) 100 bps 200 bps 100 bps 200 bps 100 bps 200 bps
+Added: June 30, 2023 June 30, 2022
+Added: Increase Decrease Increase Decrease
+Added: (in thousands) 100 bps 200 bps 100 bps 200 bps 100 bps 200 bps 100 bps
Change in net interest income $ 26,320 $ 52,538 $ (38,844) $ (79,029) $ 91,461 $ 163,136 $ (114,831)
14 unchanged sentences
federal banking agencies issued guidance strongly encouraging banking organizations to cease using U.S.
−Removed: dollar LIBOR as a reference rate in new contracts as soon as practicable and in any event by December 31, 2021.
+Added: dollar LIBOR as a reference rate in new contracts as soon
+Added: as practicable and in any event by December 31, 2021.
On March 15, 2022, President Biden signed into law the “Adjustable Interest Rate (LIBOR) Act,” as part of the Consolidated Appropriations Act, 2022, which provides for a statutory transition to a replacement rate selected by the Federal Reserve based on the SOFR for contracts referencing LIBOR that contain no fallback provisions or ineffective fallback provisions, unless a replacement rate is selected by a determining person as outlined in the statute.
On December 16, 2022, the Federal Reserve adopted a final rule implementing the Adjustable Interest Rate (LIBOR) Act by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023.
−Removed: The Company has significant but declining exposure to financial instruments with attributes that are either directly or indirectly dependent on LIBOR to establish their interest rate and/or value, some of which mature after June 30, 2023.
−Removed: The Company established a working group, consisting of key stakeholders from throughout the company, to monitor developments relating to LIBOR changes and to guide the Bank’s response.
−Removed: This team has worked to successfully ensure that technology systems are prepared for the transition, loan documents that reference LIBOR-based rates have been appropriately amended to reference other methods of interest rate determinations and internal and external stakeholders have been apprised of the transition.
−Removed: Based on the transition progress to date, the Company ceased originating LIBOR-based products and began originating alternative indexed products in December 2021.
−Removed: The Company will continue to transition all remaining LIBOR-based products to an alternative benchmark.
−Removed: The Company will also continue to evaluate the transition process and align its trajectory with regulatory guidelines regarding the cessation of LIBOR as well as monitor new developments for transitioning to alternative reference rates.
+Added: As of June 30, 2023, the Company has transitioned substantially all of its financial instruments to an alternative benchmark rate.
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.