Search: "yield curve"

Observations From ALM Model Validations: High Starting NEV Ratios

When performing model validations, it is common to see a net economic value (NEV) ratio that is considerably higher than the credit union’s current net worth ratio. Understanding NEV and net worth are two completely different concepts; there are reasons why starting with a high NEV ratio in the base environment may not be reasonable. […]

Forward Curve Back Testing

Our last blog, NEV Does Not Equal NII, drew questions from some of our readers. Specifically, some questioned our comment about a forward curve’s inability to predict interest rates. This is fair, since some in the industry seem to treat it as a foregone conclusion that a forward curve will come true. We hear a […]

How is Your Modeling Positioned to Capture NCUA’s “Chief Concern”?

In the most recent NCUA Economic Update, John Worth (Chief Economist, NCUA) outlined NCUA’s chief concern regarding the impact of a changing rate environment, given an interpretation of recent Federal Reserve comments and data analysis. See below for a key quote from the video: “If the increase in short rates is larger than the increase […]

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