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 June 30, 2024, the Company’s exposure through its trading desk does not pose a significant market risk to the Company.
+Added: As of September 30, 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 June 30, 2024 is illustrated in the following table.
−Removed: The table reflects rate-sensitive positions as of June 30, 2024 and is not necessarily indicative of positions on other dates.
+Added: The Company’s interest rate sensitivity as of September 30, 2024 is illustrated in the following table.
+Added: The table reflects rate-sensitive positions as of September 30, 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.
38 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 June 30, 2024 and 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: For modeling purposes, the “shock test” scenarios as of September 30, 2024 and 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.
The Company will continue to evaluate these scenarios as interest rates change.
5 unchanged sentences
Annualized Hypothetical Change in Net Interest Income
−Removed: June 30, 2024 June 30, 2023
+Added: September 30, 2024 September 30, 2023
+ 200 basis points 6.1 % 6.0 %
12 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.