Quantitative and Qualitative Disclosures About Market Risk
−Removed: The majority of our assets and liabilities are monetary in nature.
−Removed: Consequently, our most significant form of market risk has historically been interest rate risk.
+Added: The Company's most significant form of market risk has historically been interest rate risk.
In general, our assets, consisting primarily of mortgage loans, have longer maturities than our liabilities, consisting primarily of deposits and advances from the FHLB of Cincinnati.
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Accordingly, our Board of Directors has established risk parameter limits deemed appropriate given our business strategy, operating environment, capital, liquidity and performance objectives.
−Removed: Additionally, our Board of Directors has authorized the formation of an Asset/Liability Management Committee comprised of key operating personnel, which is responsible for managing this risk in a matter that is consistent with the guidelines and risk limits approved by the Board of Directors.
−Removed: Further, the Board has established the Directors Risk Committee, which, among other
−Removed: responsibilities, conducts regular oversight and review of the guidelines, policies and deliberations of the Asset/Liability Management Committee.
−Removed: We manage our interest rate risk in order to control the exposure of our earnings and capital to changes in interest rates.
+Added: Additionally, our Board of Directors has authorized the formation of an Asset/Liability Management Committee comprised of key operating personnel, which is responsible for managing this risk in a matter that is consistent with the tolerance limits approved by the Board of Directors.
+Added: Further, the Board has established the Directors Risk Committee, which, among other responsibilities, conducts regular oversight and review of the guidelines, policies and deliberations of the Asset/Liability Management Committee.
+Added: We manage our interest rate risk in order to control the exposure
+Added: of our earnings and capital to changes in interest rates.
Refer to the Overview section of Item 2 for additional discussion on how we manage interest rate risk.
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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.).
−Removed: From that similar
−Removed: starting point, the models follow divergent paths.
−Removed: 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 NII uses the month-end curve to compute interest income/expense at the account level for each of the categories on the balance sheet.
+Added: From that similar starting point, the models follow divergent paths.
+Added: EVE is a stochastic model using 150 different interest rate paths to compute
+Added: market value at the account level for each of the categories on the balance sheet whereas NII uses the month-end curve to compute interest income/expense at the account level for each of the categories on the balance sheet.
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 current market yield curves.
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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: The following table presents the estimated changes in the Company’s and Association's EVE and NII at December 31, 2024, that would result from the indicated changes in the United States Treasury yield curve and other relevant market interest rates.
+Added: The following table presents the estimated changes in the Company’s and Association's EVE and NII at March 31, 2025, that would result from the indicated changes in the United States Treasury yield curve and other relevant market interest rates.
TFS Financial Corporation
Interest Rates
−Removed: (basis points)
−Removed: Estimated EVE(1)
+Added: (basis points) Estimated EVE(1)
Estimated NII (2)
−Removed: Percentage Change
−Removed: Amount Percentage Change
+Added: Amount Percentage Change Amount Percentage Change
(Dollars in thousands)
6 unchanged sentences
Interest Rates
−Removed: (basis points)
−Removed: Estimated EVE (1)
−Removed: Estimated NII (2)
−Removed: Percentage Change
−Removed: Percentage Change
+Added: (basis points) Estimated EVE (1) Estimated NII (2)
+Added: Amount Percentage Change Amount Percentage Change
(Dollars in Thousands)
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(2) Estimated NII is calculated for the prospective 12 months ending September 30, 2025 in the event that market interest rates used in the simulation were adjusted instantaneously (termed a "shocked" format) during the 12 month measurement period to an aggregate increase as indicated in the Change in Interest Rates column.
−Removed: The tables above indicate that at December 31, 2024, in the event of an increase of 200 basis points in all interest rates, the Company and Association would experience a 26.35% and 30.79% decrease in EVE, respectively.
−Removed: In the event of a 100 basis point decrease in interest rates, the Company and Association would experience a 8.89% and 10.39% increase in EVE, respectively.
−Removed: 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, 2024, with comparative information as of September 30, 2024.
+Added: The tables above indicate that at March 31, 2025, in the event of an increase of 200 basis points in all interest rates, the Company and Association would experience a 27.19% and 31.32% decrease in EVE, respectively.
+Added: In the event of a 200 basis point decrease in interest rates, the Company and Association would experience an 11.74% and 13.50% 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 March 31, 2025, with comparative information as of September 30, 2024.
By regulation, the Association must measure and manage its interest rate risk for interest rate shocks relative to established risk tolerances in EVE.
TFS Financial Corporation
−Removed: Risk Measure (+200 Basis Points Rate Shock) At December 31, 2024 At September 30, 2024
+Added: Risk Measure (+200 Basis Points Rate Shock) At March 31, 2025 At September 30, 2024
Pre-Shock EVE
6 unchanged sentences
Third Federal Savings and Loan Association
−Removed: Risk Measure (+200 Basis Points Rate Shock) At December 31, 2024 At September 30, 2024
+Added: Risk Measure (+200 Basis Points Rate Shock) At March 31, 2025 At September 30, 2024
Pre-Shock EVE
6 unchanged sentences
Accordingly, although the EVE presented in the tables above provides 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 an improvement in the Pre-Shock EVE (base valuation) of 2.65% and 0.84% at December 31, 2024, when compared to the measures at September 30, 2024, for the Company and Association, respectively.
+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 an improvement in the Pre-Shock EVE (base valuation) of 3.86% and 3.43% at March 31, 2025, when compared to the measures at September 30, 2024, for the Company and Association, respectively.
Factors contributing to the Association's improvement included decrease in market interest rates, capital actions by the Association, and changes due to business activity.
1 unchanged sentence
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.