10 unchanged sentences
Economic Value of Equity.
−Removed: Using customized modeling software, the Association prepares periodic estimates of the amounts by which the net present value of its cash flows from assets, liabilities and off-balance sheet items (the institution's economic value of equity or EVE) would change in the event of a range of assumed changes in market interest rates.
+Added: Using customized modeling software, the Company and Association prepare periodic estimates of the amounts by which the net present value of cash flows from assets, liabilities and off-balance sheet items (the institution's EVE) would change in the event of a range of assumed changes in market interest rates.
The simulation model uses a discounted cash flow analysis and an option-based pricing approach in measuring the interest rate sensitivity of EVE.
3 unchanged sentences
The model is tailored specifically to our organization, which, we believe, improves its predictive accuracy.
−Removed: The following table presents the estimated changes in the Association’s EVE at June 30, 2023 that would result from the indicated instantaneous changes in the United States Treasury yield curve and other relevant market interest rates.
Computations of prospective effects of hypothetical interest rate changes are based on numerous assumptions, including relative levels of market interest rates, loan prepayments and deposit decay, and should not be relied upon as indicative of actual results.
+Added: The following table presents the estimated changes in the Company’s EVE at December 31, 2023, that would result from the indicated instantaneous changes in the United States Treasury yield curve and other relevant market interest rates.
+Added: TFS Financial Corporation
+Added: EVE as a Percentage of Present Value of Assets (3)
+Added: Interest Rates
+Added: (basis points) (1) Estimated
+Added: EVE (2) Estimated Increase (Decrease) in
+Added: Ratio (4) Increase
+Added: (basis points)
+Added: Amount Percent
+Added: (Dollars in thousands)
+Added: +300 $ 868,860 $ (442,279) (33.73) % 5.99 % (233)
+Added: +200 1,051,954 (259,185) (19.77) % 7.05 % (127)
+Added: +100 1,201,813 (109,326) (8.34) % 7.84 % (48)
+Added: 0 1,311,139 — — % 8.32 % —
+Added: -100 1,377,655 66,516 5.07 % 8.52 % 20
+Added: -200 1,379,224 68,085 5.19 % 8.33 % 1
+Added: -300 1,296,714 (14,425) (1.10) % 7.67 % (65)
+Added: The following table presents the estimated changes in the Association’s EVE at December 31, 2023, that would result from the indicated instantaneous changes in the United States Treasury yield curve and other relevant market interest rates.
+Added: Third Federal Savings and Loan Association
EVE as a Percentage of
1 unchanged sentence
Interest Rates
−Removed: (basis points) (1)
+Added: (basis points) (1) Estimated
EVE (2) Estimated Increase (Decrease) in
Ratio (4) Increase
+Added: (basis points)
Amount Percent
12 unchanged sentences
(4) EVE Ratio represents EVE divided by the present value of assets.
−Removed: The table above indicates that at June 30, 2023, in the event of an increase of 200 basis points in all interest rates, the Association would experience a 19.58% decrease in EVE.
−Removed: In the event of a 100 basis point decrease in interest rates, the Association would experience a 3.77% increase in EVE.
−Removed: The following table is based on the calculations contained in the previous table, and sets forth the change in the EVE at a +200 basis point rate of shock at June 30, 2023, with comparative information as of September 30, 2022.
+Added: The tables above indicate that at December 31, 2023, in the event of an increase of 200 basis points in all interest rates, the Company and Association would experience a 19.77% and 23.47% decrease in EVE, respectively.
+Added: In the event of a 100 basis point decrease in interest rates, the Company and Association would experience a 5.07% and 6.02% increase in EVE, respectively.
+Added: The following tables are based on the calculations contained in the previous tables, and set forth the change in the EVE at a +200 basis point rate of shock at December 31, 2023, with comparative information as of September 30, 2023.
By regulation, the Association must measure and manage its interest rate risk for interest rate shocks relative to established risk tolerances in EVE.
−Removed: Risk Measure (+200 Basis Points Rate Shock) At June 30, 2023 At September 30, 2022
+Added: TFS Financial Corporation
+Added: Risk Measure (+200 Basis Points Rate Shock)
+Added: At December 31, 2023 At September 30, 2023
Pre-Shock EVE Ratio 8.32 % 8.21 %
2 unchanged sentences
Percentage Change in EVE (19.77) % (25.92) %
+Added: Third Federal Savings and Loan Association
+Added: Risk Measure (+200 Basis Points Rate Shock) At December 31, 2023 At September 30, 2023
+Added: Pre-Shock EVE Ratio 7.01 % 6.77 %
+Added: Post-Shock EVE Ratio 5.67 % 4.91 %
+Added: Sensitivity Measure in basis points (134) (186)
+Added: Percentage Change in EVE (23.47) % (31.45) %
The manner in which actual yields, costs and consumer behavior respond to changes in market interest rates may vary from the inherent methodologies used to measure interest rate risk through changes in EVE.
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Accordingly, although the EVE tables provide an indication of our interest rate risk exposure as of the indicated dates, such measurements are not intended to and do not provide a precise forecast of the effect of changes in market interest rates on our EVE and will differ from actual results.
−Removed: In addition to our core business activities, which seek to originate Smart Rate (adjustable) loans, home equity lines of credit (adjustable) and 10-year fixed-rate loans funded by borrowings from the FHLB and intermediate term CDs (including brokered CDs), and which are intended to have a favorable impact on our IRR profile, the impact of several other items and events resulted in the 67 basis point deterioration in the Pre-Shock EVE Ratio (base valuation) measure at June 30, 2023 when compared to the measure at September 30, 2022.
−Removed: Factors contributing to this deterioration included changes in market rates, capital actions by the Association and changes due to business activity.
+Added: In addition to our core business activities, which seek to originate Smart Rate (adjustable) loans, home equity lines of credit (adjustable) and 10-year fixed-rate loans funded by borrowings from the FHLB and intermediate term CDs (including brokered CDs), and which are intended to have a favorable impact on our IRR profile, the impact of several other items and events resulted in the 11 and 24 basis point improvement in the Pre-Shock EVE Ratio (base valuation) measures at December 31, 2023, when compared to the measure at September 30, 2023, for the Company and Association, respectively.
+Added: Factors contributing to these improvements included changes in market rates, capital actions by the Association and changes due to business activity.
While our core business activities, as described at the beginning of this paragraph, are generally intended to have a positive impact on our IRR profile, the actual impact is determined by a number of factors, including the pace of mortgage asset additions to our balance sheet (including consideration of outstanding commitments to originate those assets) in comparison to the pace of the addition of duration extending funding sources.
−Removed: The IRR simulation results presented above were in line with management's expectations and were within the risk limits established by our Board of Directors.
Our simulation model possesses random patterning capabilities and accommodates extensive regression analytics applicable to the prepayment and decay profiles of our borrower and depositor portfolios.
The model facilitates the generation of alternative modeling scenarios and provides us with timely decision making data that is integral to our IRR management processes.
−Removed: Modeling our IRR profile and measuring our IRR exposure are processes that are subject to continuous revision, refinement, modification, enhancement, backtesting, and validation.
+Added: Modeling our IRR profile and measuring our IRR exposure are processes that are subject to continuous revision, refinement, modification, enhancement, back testing, and validation.
We continually evaluate, challenge, and update the methodology and assumptions used in our IRR model;
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The simulation process is subject to continual enhancement, modification, refinement and adaptation.
−Removed: As of June 30, 2023, we estimated that our EaR for the 12 months ending June 30, 2024 would decrease by 1.03% in the event that market interest rates used in the simulation were adjusted in incremental amounts (termed a
−Removed: "ramped" format) during the 12 month measurement period to an aggregate increase in 200 basis points.
−Removed: The Association uses the "ramped" assumption in preparing the EaR simulation estimates for use in its public disclosures.
−Removed: The Association continues to calculate instantaneous scenarios, and as of June 30, 2023, we estimated that our EaR for the 12 months ending June 30, 2024, would decrease by 9.72% in the event of an instantaneous 200 basis point increase in market interest rates.
−Removed: Our EaR estimates decreased, effective with the quarter ending June 30, 2023, in part due to a model assumption change that anticipates higher deposit betas going forward which will increase our interest expense and therefore reduce our net interest income.
+Added: As of December 31, 2023, the estimated EaR for the 12 months ending December 31, 2024 would increase by 1.25% for the Company and 0.53% for the Association in the event that market interest rates used in the simulation were adjusted in incremental amounts (termed a "ramped" format) during the 12 month measurement period to an aggregate increase in 200 basis points.
+Added: The Company and Association use the "ramped" assumption in preparing the EaR simulation estimates for use in its public disclosures.
+Added: The Company and Association continue to calculate instantaneous scenarios, and as of December 31, 2023, the estimated EaR for the 12 months ending December 31, 2024 would increase by 2.98% and 0.85%, respectively, in the event of an instantaneous 200 basis point increase in market interest rates.
The manner in which actual yields, costs and consumer behavior respond to changes in market interest rates may vary from the inherent methodologies used to measure interest rate risk through EaR.
4 unchanged sentences
The EVE and EaR analyses are similar in that they both start with the same month-end balance sheet amounts, weighted average coupon and maturity.
−Removed: The underlying prepayment, decay and default assumptions are also the same and they both start with the same month-end "markets" (Treasury and FHLB yield curves, etc.).
+Added: The underlying prepayment, decay and default assumptions are also the same and both start with the same month-end "markets" (Treasury and FHLB yield curves, etc.).
From that similar starting point, the models follow divergent paths.
EVE is a stochastic model using 150 different interest rate paths to compute market value at the account level for each of the categories on the balance sheet, whereas EaR uses the implied forward curve to compute interest income/expense at the account level for each of the categories on the balance sheet.
−Removed: EVE is considered as a point in time calculation with a "liquidation" view of the Association where all the cash flows (including interest, principal and prepayments) are modeled and discounted using discount factors derived from the current market yield curves.
+Added: EVE is considered as a point in time calculation with a "liquidation" view of the Company and Association where all the cash flows (including interest, principal and prepayments) are modeled and discounted using discount factors derived from the
+Added: current market yield curves.
It provides a long term view and helps to define changes in equity and duration as a result of changes in interest rates.
1 unchanged sentence
EaR is calculated to determine the sensitivity of net interest income under different interest rate scenarios.
−Removed: With each of these models, specific policy limits have been established that are compared with the actual quarter-end results.
+Added: With each of these models, specific policy limits have been established for the Association that are compared with the actual month end results.
These limits have been approved by the Association's Board of Directors and are used as benchmarks to evaluate and moderate interest rate risk.
In the event that there is a breach of policy limits that extends beyond two consecutive quarter-end measurement periods, management is responsible for taking such action, similar to those described under the preceding heading of General , as may be necessary in order to return the Association's interest rate risk profile to a position that is in compliance with the policy.
−Removed: At June 30, 2023, the IRR profile as disclosed above was within our internal limits.
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.