22 unchanged sentences
The principal function of managing interest rate risk is to maintain an appropriate relationship between those assets and liabilities that are sensitive to changing market interest rates.
−Removed: The difference between rate sensitive assets and rate sensitive liabilities for specified periods of time is known as the “GAP.” Earnings-simulation analysis captures not only the potential of these interest sensitive assets and liabilities to mature or reprice, but also the probability that they will do so.
+Added: The difference between rate sensitive assets and rate
+Added: sensitive liabilities for specified periods of time is known as the “GAP.” Earnings-simulation analysis captures not only the potential of these interest sensitive assets and liabilities to mature or reprice, but also the probability that they will do so.
Moreover, earnings-simulation analysis considers the relative sensitivities of these balance sheet items and projects their behavior over an extended period of time.
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basis and projects the effect of various interest rate changes on its net interest margin.
−Removed: The following table shows United’s estimated earnings sensitivity profile as of September 30, 2021 and December 31, 2020:
+Added: The following table shows United’s estimated earnings sensitivity profile as of March 31, 2022 and December 31, 2021:
Change in Interest Rates
1 unchanged sentence
Percentage Change in Net Interest Income
−Removed: September 30, 2021
+Added: March 31, 2022
December 31, 2021
−Removed: At September 30, 2021, given an immediate, sustained 100 basis point upward shock to the yield curve used in the simulation model, net interest income for United is estimated to increase by 0.32% over one year as compared to a decrease of 2.61% at December 31, 2020.
−Removed: A 200 basis point immediate, sustained upward shock in the yield curve would increase net interest income by an estimated 0.98% over one year as of September 30, 2021, as compared to a decrease of 4.32% as of December 31, 2020.
−Removed: A 100 basis point immediate, sustained downward shock in the yield curve would decrease net interest income by an estimated 1.08% over one year as of September 30, 2021 as compared to an increase of 0.03%, over one year as of December 31, 2020.
−Removed: A 200 basis point immediate, sustained downward shock in the yield curve would decrease net interest income by an estimated 1.83% over one year as of September 30, 2021 as compared to a decrease of 0.05% over one year as of December 31, 2020.
+Added: At March 31, 2022, given an immediate, sustained 100 basis point upward shock to the yield curve used in the simulation model, net interest income for United is estimated to increase by 1.36% over one year as compared to an increase by 2.70% at December 31, 2021.
+Added: A 200 basis point immediate, sustained upward shock in the yield curve would increase net interest income by an estimated 1.40% over one year as of March 31, 2022, as compared to an increase of 4.61% as of December 31, 2021.
+Added: A 100 basis point immediate, sustained downward shock in the yield curve would decrease net interest income by an estimated 1.59% over one year as of March 31, 2022 as compared to a decrease of 0.98%, over one year as of December 31, 2021.
+Added: A 200 basis point immediate, sustained downward shock in the yield curve would decrease net interest income by an estimated 6.88% over one year as of March 31, 2022 as compared to a decrease of 2.42% over one year as of December 31, 2021.
In addition to the one year earnings sensitivity analysis, a two-year
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Compared to the one year analysis, United is projected to show improved performance in year two within the upward rate shock scenarios.
−Removed: Given an immediate, sustained 100 basis point upward shock to the yield curve used in the simulation model, net interest income for United is estimated to increase by 3.75% in year two as of September 30, 2021.
−Removed: A 200 basis point immediate, sustained upward shock in the yield curve would increase net interest income by an estimated 7.38% in year two as of September 30, 2021.
−Removed: A 100 basis point immediate, sustained downward shock in the yield curve would decrease net interest income by an estimated 5.17% in year two as of September 30, 2021.
−Removed: A 200 basis point immediate, sustained downward shock in the yield curve would decrease net interest income by an estimated 7.09% in year two as of September 30, 2021.
+Added: Given an immediate, sustained 100 basis point upward shock to the yield curve used in the simulation model, net interest income for United is estimated to increase by 3.67% in year two as of March 31, 2022.
+Added: A 200 basis point immediate, sustained upward shock in the yield curve would increase net interest income by an estimated 5.57% in year two as of March 31, 2022.
+Added: A 100 basis point immediate, sustained downward shock in the yield curve would decrease net interest income by an estimated 4.23% in year two as of March 31, 2022.
+Added: A 200 basis point immediate, sustained downward shock in the yield curve would decrease net interest income by an estimated 12.97% in year two as of March 31, 2022.
This analysis does not include the potential increased refinancing activities, which should lessen the negative impact on net income from falling rates.
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This is generally referred to as extension risk.
−Removed: At September 30, 2021, United’s mortgage related securities portfolio had an amortized cost of $1.7 billion, of which approximately $716.6 million or 43% were fixed rate collateralized mortgage obligations (CMOs).
+Added: At March 31, 2022, United’s mortgage related securities portfolio had an amortized cost of $1.8 billion, of which approximately $972.7 million or 44% were fixed rate collateralized mortgage obligations (CMOs).
These fixed rate CMOs consisted primarily of planned amortization class (PACs), sequential-pay
and accretion directed (VADMs) bonds having an average life of approximately 5.6 years and a weighted average yield of 1.91%, under current projected prepayment assumptions.
−Removed: These securities are expected to have very little extension risk in a rising rate environment.
−Removed: Current models show that given an immediate, sustained upward shock of 300 basis points, the average life of these securities would only extend to 5.5 years.
+Added: These securities are expected to have moderate extension risk in a rising rate environment.
+Added: Current models show that an immediate, sustained upward shock of 300 basis points, the average life of these securities would only extend to 7 years.
The projected price decline of the fixed rate CMO portfolio in rates up 300 basis points would be 16%, or less than the price decline of a 7-
2 unchanged sentences
2.50% coupon mortgage backed security (MBS) in rates higher by 300 basis points would be approximately 21.1%.
−Removed: United had approximately $574.4 million in fixed rate Commercial Mortgage Backed Securities (CMBS) with a projected yield of 2.12% and a projected average life of 5.2 years on September 30, 2021.
+Added: United had approximately $615.9 million in fixed rate Commercial mortgage backed Securities (CMBS) with a projected yield of 2.05% and a projected average life of 5.3 years on March 31, 2022.
This portfolio consisted primarily of Freddie Mac Multifamily K securities and Fannie Mae Delegated Underwriting and Servicing (DUS) securities with a weighted average maturity (WAM) of 8.2 years.
United had approximately $31.7 million in 15-year
−Removed: mortgage backed securities with a projected yield of 2.32% and a projected average life of 2.7 years as of September 30, 2021.
+Added: mortgage backed securities with a projected yield of 2.04% and a projected average life of 4.9 years as of March 31, 2022.
This portfolio consisted of seasoned 15-year
1 unchanged sentence
United had approximately $377.7 million in 20-year
−Removed: mortgage backed securities with a projected yield of 1.39% and a projected average life of 4.6 years on September 30, 2021.
+Added: mortgage backed securities with a projected yield of 1.80% and a projected average life of 7.1 years on March 31, 2022.
This portfolio consisted of seasoned 20-year
1 unchanged sentence
United had approximately $181.4 million in 30-year
−Removed: mortgage backed securities with a projected yield of 2.15% and a projected average life of 3.9 years on September 30, 2021.
+Added: mortgage backed securities with a projected yield of 2.43% and a projected average life of 7.7 years on March 31, 2022.
This portfolio consisted of seasoned 30-year
mortgage paper with a weighted average loan age (WALA) of 3 years and a weighted average maturity (WAM) of 25.3 years.
−Removed: The remaining 2% of the mortgage related securities portfolio on September 30, 2021, included floating rate CMO, CMBS and mortgage backed securities.
+Added: The remaining 2% of the mortgage related securities portfolio on March 31, 2022, included floating rate CMO, CMBS and mortgage backed securities.
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.