29 unchanged sentences
Net interest income is the difference between the interest income that we earn on our interest-earning assets, such as loans and securities, and the interest that we pay on our interest-bearing liabilities, such as deposits and borrowings.
−Removed: In our model, we estimate what our net interest income would be for prospective 12 and 24 month periods using customized (based on our portfolio characteristics) assumptions with respect to loan prepayment rates, default rates and deposit decay rates, and the implied forward yield curve as of the market date for assumptions related to projected interest rates.
+Added: In our model, we estimate what our net interest income would be for prospective 12 and 24 month periods using customized (based on our portfolio characteristics) assumptions with respect to loan prepayment rates, default rates, and the implied forward yield curve as of the market date for assumptions related to projected interest rates.
We then calculate what the estimated net interest income would be for the same period under numerous interest rate scenarios.
The simulation process is subject to continual enhancement, modification, refinement and adaptation.
−Removed: The Company and Association use a "ramped" assumption in preparing the NII sensitivity simulation estimates for us in its public disclosure.
−Removed: The "ramped" assumption calculates NII sensitivity in the event that the market interest rates used in the simulation were adjusted in incremental amounts during the 12 month measurement period.
+Added: Company and Association use a "shocked" assumption in preparing the NII sensitivity simulation estimates for us in its public disclosure.
+Added: The "shocked" assumption calculates NII sensitivity in the event that the market interest rates used in the simulation were instantly adjusted.
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 NII.
4 unchanged sentences
The EVE and NII sensitivity 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 and default assumptions are also the same and they both start with the same month end "markets" (Treasury and FHLB yield curves, etc.).
From that similar 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 implied forward curve to compute interest income/expense at the account level for each of the categories on the balance sheet.
+Added: EVE is a stochastic model using 250 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.
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.
It provides a long-term view and helps to define changes in equity and duration as a result of changes in interest rates.
−Removed: On the other hand, NII is based on balance sheet projections going one year and two years forward and assumes new business volume and pricing to calculate net interest income under different interest rate environments.
+Added: On the other hand, NII is based on flat balance sheet projections going one year and two years forward
+Added: and assumes static volume and pricing to calculate net interest income under different interest rate environments.
NII sensitivity is calculated to determine the sensitivity of net interest income under different interest rate scenarios.
32 unchanged sentences
Estimated EVE assumes an instantaneous uniform change in interest rates at all maturities.
−Removed: (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 in incremental amounts (termed a "ramped" format) during the 12 month measurement period to an aggregate increase as indicated in the Change in Interest Rates column.
+Added: (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.
The tables above indicate that at September 30, 2025, in the event of an increase of 200 basis points in all interest rates, the Company and Association would experience a 21.35% and 23.62% decrease in EVE, respectively.
27 unchanged sentences
Factors contributing to the Association's improvement included decrease in market interest rates, capital actions by the Association, and changes due to business activity.
−Removed: 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 (reductions) to our balance sheet (including consideration of outstanding commitments to originate those assets), in comparison to the pace of the addition (reduction) of duration extending funding sources.
+Added: 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 (reductions) to our balance sheet
+Added: (including consideration of outstanding commitments to originate those assets), in comparison to the pace of the addition (reduction) of duration extending funding sources.
Financial Statements and Supplementary Data
3 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.