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.
−Removed: As of September 30, 2023, the Company’s exposure through its trading desk does not post a significant market risk to the Company.
+Added: As of March 31, 2024, the Company’s exposure through its trading desk does not pose 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 95th 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 September 30, 2023 is illustrated in the following table.
−Removed: The table reflects rate-sensitive positions as of September 30, 2023 and is not necessarily indicative of positions on other dates.
+Added: The Company’s interest rate sensitivity as of March 31, 2024 is illustrated in the following table.
+Added: The table reflects rate-sensitive positions as of March 31, 2024 and is not necessarily indicative of positions on other dates.
The table does not take into account the effect of the Company’s derivatives designated as cash flow hedges.
30 unchanged sentences
Management performs a sensitivity analysis to identify interest rate risk exposure on net interest income.
−Removed: Management also quantifies and measures interest rate risk exposure using a model to dynamically simulate the effect of changes in net interest income relative to changes in interest rates over the next twelve months based on three interest rate scenarios.
−Removed: These are a static rate scenario and two “shock test” scenarios.
+Added: Management also quantifies and measures interest rate risk exposure using a model to dynamically simulate the effect of changes in net interest income relative to changes in interest rates over the next twelve months based on different interest rate scenarios.
+Added: These are a static rate scenario and “shock test” scenarios, as described below.
These scenarios are based on interest rates as of the last day of a reporting period published by independent sources and incorporate relevant spreads of instruments that are actively traded in the open market.
4 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 September 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.
−Removed: As of September 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.
+Added: For modeling purposes, the “shock test” scenarios as of March 31, 2024 and 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.
The Company will continue to evaluate these scenarios as interest rates change.
−Removed: 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.
+Added: The Company’s interest rate risk exposure model incorporates 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 prepayment 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.
These assumptions have been developed through a combination of historical analysis and projection of future expected pricing behavior.
−Removed: Changes in prepayment behavior of mortgage-backed securities, residential and commercial mortgage loans in each rate environment are captured using industry estimates of prepayment speeds for various coupon segments of the portfolio.
−Removed: The impact of these changes is factored into the simulation model results for 2023.
−Removed: This modeling indicated interest rate sensitivity as follows:
−Removed: Anticipated Impact Over the Next Twelve Months as Compared to Most Likely Scenario
−Removed: September 30, 2023 September 30, 2022
−Removed: Increase Decrease Increase Decrease
−Removed: (in thousands) 100 bps 200 bps 100 bps 200 bps 100 bps 200 bps 100 bps
−Removed: Change in net interest income $ 29,296 $ 58,451 $ (41,562) $ (83,055) $ 76,688 $ 134,859 $ (103,564)
+Added: Changes in prepayment behavior of mortgage-backed securities and residential and commercial mortgage loans in each rate environment are captured using industry estimates of prepayment speeds for various coupon segments of the portfolio.
+Added: The impact of these changes is factored into the simulation model results and indicated interest rate sensitivity as follows:
+Added: Annualized Hypothetical Change in Net Interest Income
+Added: March 31, 2024 March 31, 2023
+Added: + 200 basis points 2.8 % 6.7 %
+Added: + 100 basis points 1.5 % 3.4 %
+Added: - 100 basis points (4.5) % (4.6) %
+Added: - 200 basis points (9.2) % (9.3) %
The simulations used to manage market risk are based on numerous assumptions regarding the effect of changes in interest rates on the timing and extent of repricing characteristics, future cash flows and customer behavior.
7 unchanged sentences
For additional information regarding derivatives, see Note 10 - Derivative Financial Instruments in the accompanying notes to the consolidated financial statements included elsewhere in this report.
−Removed: LIBOR Transition
−Removed: In 2017, the U.K.
−Removed: 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 extended publication of the most commonly used U.S.
−Removed: dollar LIBOR settings to June 30, 2023 and ceased publishing other LIBOR settings on December 31, 2021.
−Removed: 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
−Removed: as practicable and in any event by December 31, 2021.
−Removed: 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.
−Removed: 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: As of September 30, 2023, the Company has transitioned substantially all of its financial instruments to an alternative benchmark rate, with the exception of certain loans and instruments that will transition to an alternative benchmark rate upon their next index reset period.
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.