CHFC 2018 Annual Report

At December 31, 2018 and 2017, we projected the change in net interest income during both the following 12 and 24 months assuming immediate parallel moves in interest rates. These projections were based on our assets and liabilities remaining static over the next 24 months and estimates of the potential impact that changes in interest rates may have on the value and prepayment speeds on all components of our loan and investment portfolios, as well as embedded options and cash flows of other assets and liabilities. The ALCO regularly monitors our forecasted net interest income sensitivity to ensure that it remains within established limits. The estimated impact on our net interest income at December 31, 2018 and 2017, assuming immediate parallel moves in interest rates is presented in the table below. December 31, 2018 December 31, 2017 Following 12 months Following 24 months Following 12 months Following 24 months +400 basis points (0.5)% (0.5)% (4.2)% (3.0)% +300 basis points (0.8) (0.7) (3.6) (2.7) +200 basis points (0.7) (0.7) (2.7) (2.0) +100 basis points (0.1) (0.2) (1.2) (1.0) -100 basis points (1.1) (1.1) (4.0) (4.9) -200 basis points (7.7) (9.2) (12.5) (15.2) -300 basis points (1) (18.0) (22.4) -400 basis points (1) (24.0) (28.4) (1) We did not project a 300 or 400 basis point decrease in interest rates at December 31, 2017 as the likelihood of a decrease of this size was considered unlikely given prevailing interest rate levels. 81