All written content on this site is for informational purposes only. Opinions expressed herein are solely those of Asset Management Group, Inc. Any material presented is believed to be from reliable sources and we make no representations as to its accuracy or completeness. All information and ideas should be discussed in detail with your individual advisor prior to implementation. Links to other sites should not be construed as endorsement of that site's advice and/or products. Although Asset Management Group, Inc. is a subsidiary of Country Club Bank, nothing presented here should be construed as either an offer to buy or sell securities, and does not represent a guarantee by the bank, implied or otherwise, of any financial asset.
Wednesday, June 29, 2016
Data Aggregation - The impact on your results
Does your model provide you with the most accurate picture of your balance sheet? All asset liability models have to aggregate data at some point in the process. The timing of that data aggregation can have an impact on the results you receive. Most models in the market place today use instrument-level data from your core provider as a starting point for analysis. However, what your model does with that information after it is received makes all the difference in the results. Many models look for homogenous groups within the instrument-level data with which to perform the analysis. The more categories that are used for analysis, the better. However, the best solution and what is more unusual in the market place is a model that analyzes each instrument individually then aggregates the results for an easy to read report.The charts above show the impact on income of a grouping of 10 commercial loans that re-price within 12 months. Because timing is important of when each loan re-prices, being able to analyze each loan individually has a big impact in the results we have seen, even in the most simple balance sheet structures. Models that are capable of this type of instrument level analysis are generally more expensive than models that aren’t capable of this analysis. The above sample shows an income difference of 6.63% on just $3MM in loans, how big would the impact be on your portfolio? If you are making decisions on results that do not accurately portray your interest rate risk position, the cost could certainly be far greater with a “cheaper” model.
Tuesday, September 27, 2022Deposit Decay RatesRead MoreThursday, April 29, 2021The Panic Begins: CECL and the Coming ChangesRead MoreTuesday, March 12, 2019Make the ALCO Process Meaningful, Not a Checkbox!Read MoreFriday, March 8, 2019Do We Need to "Reset" Our Expectations for 2019?Read MoreFriday, June 29, 2018Feeling the SqueezeRead MoreFriday, March 9, 2018***CECL IS HERE***Read MoreFriday, February 2, 2018Regulatory SpotlightRead MoreMonday, September 25, 2017FASB’s New Swap Rules means “Christmas Comes Early” for Community ...Read MoreThursday, August 10, 2017Marginal Profit Analysis of a LoanRead MoreTuesday, May 23, 2017The Cost of a LoanRead MoreTuesday, March 28, 2017Setting Risk Limits for your Interest Rate Risk Earnings SimulationRead MoreTuesday, March 28, 2017Fed Raises Overnight Funds Target; how does this effect your ...Read MoreMonday, March 27, 2017Liquidity Funding AlternativesRead MoreMonday, October 3, 2016Testing Critical ALM AssumptionsRead MoreWednesday, June 29, 2016Data Aggregation - The impact on your resultsRead More