Search: "yield curve"

NCUA’s Interest Rate Risk Questionnaire – Starting the Conversation

More institutions are being presented with NCUA’s Interest Rate Risk Questionnaire in advance of examinations and being asked to fill them out. During the preparation for an examination, this may seem like the last thing a busy management team should be concerned with, but it should be taken as an opportunity to refresh credit union […]

Do A/LM Modeling Results Match What’s Intended?

Is your A/LM model producing the intended results?  During the course of validating other A/LM models, sometimes we see inputs that appear reasonable on the surface but are not producing the intended results. When conducting a recent credit union model validation, we were asked why the model showed a loss on 30-year mortgages when the […]

Evaluating Investment Proposals With Enhanced Due Diligence

Understanding the impact that new business decisions can have on a credit union’s risk profile is central to effective asset/liability management, and is even addressed in NCUA’s recently issued Interest Rate Risk Questionnaire.  This is especially appropriate when evaluating proposals from investment brokers seeking to “rebalance” or “strategically realign” a credit union’s investment portfolio. Many […]

Record Low 10-Year Treasury Rates and Net Interest Margin

On September 22nd, the 10-year Treasury Rate touched another historic low with a yield close to 1.7%.  This is a critical measure, as many credit union assets are priced off of the longer end of the yield curve.  There are many factors contributing to the low yield, including: The Fed’s decision to sell some shorter-term […]

Static Income Simulation – Things To Consider

One of the traditional approaches to income simulation is to use a static balance sheet, which assumes that a credit union’s mix of assets and liabilities remains constant, regardless of external forces.  In other words, static analysis assumes that every dollar of mortgages that matures is immediately put back into a new mortgage at the […]

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