Wednesday, April 27, 2016

Duration Trend

We have added a new report to the Executive Summary of the BancPath report.  Many of our customers have requested and we have delivered a duration trend report of the investment and loan portfolio.  You will see this new page immediately after the Repricing Drift page at the end of the Executive Summary.  The goal of this page is to point to the changing risk profile of the bank based on the duration of the investment and loan portfolios.  If you have questions about this page, please let us know. 


DURATION Trend Analysis
24 mos ago
12 mos ago
9 mos ago
6 mos ago
3 mos ago
1 mos ago
Current
Treasuries
5.690
 
4.649
 
4.429
 
4.241
 
4.145
 
4.362
 
4.285
 
Agcy NC
6.459
 
4.218
 
4.034
 
3.806
 
3.569
 
3.540
 
3.463
 
Agcy Call
7.856
 
7.008
 
7.347
 
7.116
 
6.900
 
6.767
 
6.701
 
Agencies
7.763
 
6.244
 
5.946
 
5.717
 
5.492
 
5.430
 
5.359
 
Muni GO
5.456
 
3.262
 
4.619
 
4.055
 
3.125
 
2.839
 
2.568
 
Muni REV
5.098
 
3.465
 
4.197
 
3.506
 
2.833
 
2.690
 
2.653
 
Municipals
5.318
 
3.372
 
4.375
 
3.738
 
2.956
 
2.753
 
2.570
 
CMO Fix
2.050
 
1.385
 
1.402
 
1.414
 
1.355
 
1.325
 
1.396
 
CMO Flt
0.000
 
0.000
 
0.000
 
0.000
 
0.000
 
0.000
 
0.000
 
MBS Fix
2.411
 
2.719
 
2.945
 
2.769
 
2.738
 
2.771
 
3.288
 
MBS ARM
0.883
 
4.644
 
0.964
 
0.149
 
0.128
 
0.106
 
0.169
 
MBS/CMO
2.026
 
2.948
 
2.619
 
2.374
 
2.335
 
2.349
 
3.180
 
Corp/Other
0.000
 
8.043
 
7.852
 
7.664
 
7.455
 
7.374
 
7.302
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Invest
6.496
 
4.964
 
5.098
 
4.768
 
4.418
 
4.386
 
4.318
 
Total Comm'l
3.320
 
2.762
 
2.699
 
2.599
 
2.261
 
2.267
 
2.238
 
Total Comm'l RE
0.000
 
0.000
 
0.000
 
0.000
 
0.000
 
0.000
 
0.000
 
Total RE
3.943
 
3.749
 
3.731
 
3.697
 
4.060
 
4.176
 
4.357
 
Total AG
2.170
 
1.866
 
1.897
 
1.811
 
1.764
 
1.790
 
1.955
 
Total Cons
2.663
 
2.734
 
2.744
 
2.790
 
2.460
 
2.407
 
2.368
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross Loans
3.119
 
2.667
 
2.602
 
2.552
 
2.389
 
2.423
 
2.473
 
Earning Assets
4.436
 
3.448
 
3.612
 
3.304
 
3.171
 
3.185
 
2.978