c. myblog

December 19, 2013

Concentration Limits and Interest Rate Risk – a Moving Target

Over the last few years, many credit unions have been asked to complete concentration risk policies and develop limits founded on some type of analysis.  Some institutions have also included limits in their policy designed to mitigate exposure to interest rate risk as a supplement to more traditional asset/liability management practices.  These limits should be […]

November 15, 2013

Survey on NCUA Proposed Rule for Capital Planning and Stress Testing

Recently, NCUA released its proposed rule for capital planning and stress testing.  Even though the regulation will only affect credit unions with assets $10 billion and above, consider your institution.  How adequately prepared are you if, in the future, this rule were to be applied to credit unions under $10 billion in assets? Let us […]

October 24, 2013

Interest Rate Risk and Member CD Early Withdrawals

An important component of A/LM modeling that some interest rate risk (IRR) models ignore is applying early withdrawal assumptions to Member CDs. This is especially true for credit unions whose members are rate sensitive and/or accustomed to higher rates. If models do not consider early withdrawals, the benefit of longer-term CDs can be materially overstated […]

October 10, 2013

Increase In Intermediate- And Long-Term Rates, Potential Increase In Risk-Based Net Worth Required

With the change in intermediate- and long-term rates since the last Call Report cycle ending June 30, 2013, credit unions may find that the reported weighted-average life (WAVG life) of their investment portfolios has changed. This may be true even if no new investment purchases were made. This change in reporting on the 5300 will […]

October 3, 2013

If My Investment Strategy Hasn’t Changed, Then My Interest Rate Risk Hasn’t Changed—Right?

  We often are asked “If I keep my investment strategy the same through various rate cycles, won’t my interest rate risk be the same?’’ The answer is no. Let’s take a simple example of a 5-year bullet purchased in June of 2013 compared to a 5-year bullet purchased in June of 2007. As of […]

Start typing and press Enter to search