c. myblog

May 13, 2011

Proposed IRR Regulation Could Have Unintended Consequences

C. myers agrees with the objective that most institutions should have an effective interest rate risk (IRR) management policy supported by an effective IRR program.  However, we do not agree that it should be regulation. Keep in mind as you read our comments that our business is to provide asset/liability management services to financial institutions.  […]

April 19, 2011

NEV Shares At Par

Q: Does assuming NEV non-maturity deposits at par isolate changes in balance sheet structure? A: No. Some people think that valuing non-maturity deposits at par is more conservative and isolates changes in balance sheet structure simulation to simulation.  This is not the case.  NEV with non-maturity deposits at par shows exactly the same result whether […]

December 9, 2010

NEV vs. 17-4 Gross Test

Don’t be confused.  The 17-4 Gross Test is not the same thing as net economic value (NEV). NCUA describes the 17-4 as a “quick and dirty” interest rate risk measure.  It is calculated by devaluing fixed-rate mortgages by 17% and adjustable-rate mortgages by 4%.  These devaluation factors represent the price loss on newly issued loans.  […]

October 29, 2010

Does Your NEV Analysis Really Capture Fair Value Of Assets?

If your credit union runs a Net Economic Value (NEV) analysis as part of the A/LM process, how do you determine the credit union’s loan discount rate assumptions? Sometimes we hear credit unions say that their current loan offering rates are used as the discount rates in their NEV models.  We do not believe this […]

Start typing and press Enter to search