Sample ALM Report

56 Pages·2011·1.26 MB·English

by  Sheri K

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®
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Sample Credit Union
for the quarter ended
March 31, 2011
2860 West 4700 South, Suite D
Salt Lake City, Utah 84118
Telephone [phone]
Facsimile 801.963.8470
TABLE OF CONTENTS
Page #
INTRODUCTION
ALMPro® DASHBOARD - Analysis of Historical Data and Analysis of Forecast Interest Rate Risk 1.0
SECTION 1
ANALYSIS OF INCOME SIMULATION
Income Simulation Summary - Three Year Cumulative Results for Rates Up and Down Shock 1.1
Comparative Analysis of Rates Up Shock to Benchmark Using Income Simulation 1.2
Comparative Analysis of Rates Down Shock to Benchmark Using Income Simulation 1.3
Graphic Comparative Analysis of Income Simulations 1.4
Income Simulation Historical Graphic Analysis 1.5
Repayment Assumptions For Assets Used In The Income Simulation 1.6
Repayment Speeds Validation And Documentation 1.7
Repricing Assumptions for Shares and Liabilities Used In The Income Simulation 1.8
RReepprriicciinngg SSppeeeeddss VVaalliiddaattiioonn aanndd DDooccuummeennttaattiioonn 1.9
Interest Rate Assumptions for Rates Up Shock 1.10
Interest Rate Assumptions for Rates Down Shock 1.11
SECTION 2
INTRODUCTION TO NET ECONOMIC VALUE/MARKET VALUE ANALYSIS
Net Economic Value (NEV)/Market Value Summary 2.1
Net Economic Value Rates Up Analysis 2.2
Net Economic Value Rates Down Analysis 2.3
Net Economic Value Historical Graphs 2.4
Net Economic Value Validation and Documentation 2.5
SECTION 3
CAPITAL / NET WORTH
Capital / Net Worth Management Summary 3.1
Capital / Net Worth History 3.2
SECTION 4
LIQUIDITY
Liquidity Summary and Analysis in Graph Format 4.1
TABLE OF CONTENTS
Page #
SECTION 5
INCOME STATEMENT ANALYSIS
Spread Analysis - Last 3 Years 5.1
Spread Analysis - Quarterly (last 4 quarters) 5.2
Spread Analysis Year-To-Date & Income Statements Year-To-Date 5.3
Summary Income Statements & Analysis 5.4
Interest Income & Interest Expense Analysis and Graphs 5.5
Income Statements & Analysis - Last 3 Years 5.6
Income Statements & Analysis - Last 4 quarters 5.7
Net Interest Margin/NII Analysis and Graphs 5.8
SECTION 6
BALANCE SHEET ANALYSIS
Summary Balance Sheets and Analysis 6.1
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Loan Portfolio Analysis for the Last 3 Years 6.3
Investment Portfolio Analysis for the Last 3 Years 6.4
Shares & Deposits Portfolio Analysis for the Last 3 Years 6.5
ADDENDA
ADDENDUM 1 - Glossary of Financial Terms
ADDENDUM 2 - Camel Ratios Analysis
ADDENDUM 3.1 - Forecasted Balance Sheet and Income Statement Benchmark
ADDENDUM 3.2 - Forecasted Balance Sheet and Income Statement Rates Down Shock
ADDENDUM 3.3 - Forecasted Balance Sheet and Income Statement Rates Up Shock
ADDENDUM 4.1 - Benchmark Scenario Repricing Analysis
ADDENDUM 4.2 - Rates Up Shock Scenario Repricing Analysis
ADDENDUM 4.3 - Rates Down Shock Scenario Repricing Analysis
ADDENDUM 5 - Assessment Criteria
Sample Credit Union
As of March 31, 2011
INTRODUCTION
Page #
ALMPro® DASHBOARD 1.0
ANALYSIS (FORECAST) OF INTEREST RATE RISK (IRR)
PANEL 1 INCOME SIMULATION ANALYSIS
PANEL 2 NET ECONOMIC VALUE (NEV) ANALYSIS
ANALYSIS OF HISTORICAL DATA
PANEL 3 NET WORTH (CAPITAL) ANALYSIS
PANEL 4 LIQUIDITY RISK ANALYSIS
PANEL 5 INTEREST MARGIN AND NET INCOME ANALYSIS
Sample Credit Union
ALMPro DASHBOARD***
®
As of March 31, 2011
ANALYSIS (FORECAST) OF INTEREST RATE RISK (IRR) ANALYSIS OF HISTORICAL ALM DATA
PANEL 1 PANEL 2 PANEL 3 PANEL 4 PANEL 5
INCOME SIMULATION NET ECONOMIC VALUE (NEV) NET WORTH (CAPITAL) LIQUIDITY RISK INTEREST MARGIN AND
ANALYSIS ANALYSIS ANALYSIS (Stated at Book Value) ANALYSIS NET INCOME ANALYSIS
Three Year Cumulative Analysis The Net Worth (Capital) Ratio* is an One Year Liquidity Ratio Last 12 Months Spread Analysis
This analysis estimates the impact of
excellent measure of solvency and
This analysis simulates interest income and Market Risk on the CU’s Net Worth The earnings measured by a spread
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In general the higher the Net Worth Ratio,
down rate changes. The results are the CU’s Net Economic Value (NEV). the more safe and sound the CU is. Some the total of all cash and cash Note that due to the corporate
presented in a 3-year cumulative format. equivalent accounts and investments
important things to note: stabilization mandated by NCUA, we
On page 1.1 this analysis is expanded and that will mature in 1 year or less and
includes the estimated impact on Net • Asset quality is a major factor in the dividing that total by the total assets have broken out below the impact of
Income. Ratio. If the quality of assets is in question at the end of the period. the stabilization expenses.
the Ratio may need to be adjusted.
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share mix, operating expenses, and fee write-downs have been booked as of the
% Net Worth at risk -12.3% nature of liquidity is that it often Net interest margin 394
income fall in this category. For this reason above date and which remain to be booked
the benchmark simulation should not be Operational Guideline** -20.0% the future. varies throughout the month or Operational Guideline** 375
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be used to forecast likely results for the pension gain or loss which is stated as a
Analysis of Net Worth (Capital) Ratio
coming year. Book value of Net Worth Ratio 11.3% part of the reserve structure. Fees & misc income 64
UP-RATE SHOCK @ 300 BP Market Risk adjusted One Year Liquidity Ratio 22.3% Total margin 458
Forecasted Net Worth Ratio 10.1% Net Worth (Capital) Ratio 11.3% Operational Guideline** 10.0% Operating Expenses 404
3-Year Cumulative ($000) Operational Guideline** 7.0% Operational Guideline** 10.0% Provision for Loan Loss 0
Variance 12.3%
Benchmark Net Interest Income (NII) $6,836 Total Operating Expenses 404
Variance 3.1% Variance 1.3%
Shocked Net Interest Income $5,625 Other gains(loss) 0
Net Interest Income at risk ($1,211) Overnight Cash Liquidity Ratio Net Income --ROA from
% of Benchmark NII at risk -17.7% DOWN-RATE SHOCK @ 100 BP Net Worth (Capital) Standards ongoing operations 54
Operational Guideline** -15.0% Net Worth (Capital) at Risk The Overnight Cash Liquidity Ratio Operational Guideline** 75
NCUA has adopted standards to measure
Current Net Worth ($000) 6,036 is the total of all cash and Overnight
Variance -2.7% Net Worth (Capital) adequacy. If a CU's Variance -21
Net Worth at risk ($000) 7,209 Cash equivalents divided by the CU's
% Net Worth at risk 19.4% Net Worth is not considered adequate, then total assets. Again, note that liquidity
DOWN-RATE SHOCK @ 100 BP Operational Guideline** -20.0% prompt corrective action is mandated. Our often varies significantly during a Impact from Corp. Stabilization
Forecasted experience is that most state regulators also
Variance 39.4% month or quarter depending on pay-
3-Year Cumulative ($000) use these same or similar guidelines. A
rolls and seasonal share withdrawals.
Benchmark Net Interest Income (NII) 6,836 networth ratio over 7% meets the Write off of NCUSIF deposit 0
Shocked Net Interest Income 6,661 Book value of Net Worth Ratio 11.3% regulatory capital requirements. Under the NCUSIF Premium 0
Net Interest Income at risk ($175) Market Risk adjusted current NCUA guidelines, the Credit Union NCUSIF Recovery 0
% of Benchmark NII at risk -2.6% Net Worth Ratio 13.2% is classified as: Overnight/Cash Liquidity Ratio 17.5% Charge-off related to
Operational Guideline** -15.0% Operational Guideline** 7.0% Operational Guideline** 5.0% Corp Cap Write-Down (18)
Variance 12.4% Variance 6.2% Well Capitalized Variance 12.5%
Net Income ROA 36
Expanded Analysis Begins at 1.1 Expanded Analysis Begins at 2.1 Expanded Analysis Begins at 3.1 Expanded Analysis Begins at 4.1 Expanded Analysis Begins at 5.1
* The terms Net Worth and Capital are synonymous.
** The Operational Guidelines have not been established by management and the numbers reflected are benchmarks for the purpose of this report.
***Confidential—For Internal Use Only Page 1.0
Sample Credit Union As of March 31, 2011
SECTION 1
ANALYSIS OF INCOME SIMULATION
Page #
FORECASTED INCOME SIMULATION SUMMARY 1.1
COMPARATIVE ANALYSIS OF RATES-UP SHOCK TO BENCHMARK USING INCOME SIMULATION 1.2
COMPARATIVE ANALYSIS OF RATES-DOWN SHOCK TO BENCHMARK USING INCOME SIMULATION 1.3
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INCOME SIMULATION HISTORICAL ANALYSIS 1.5
REPAYMENT VELOCITY ASSUMPTIONS FOR ASSETS USED IN THE INCOME SIMULATION 1.6
LOAN REPAYMENT SPEED VALIDATION AND DOCUMENTATION 1.7
REPRICING ASSUMPTIONS FOR SHARES USED IN THE INCOME SIMULATION 1.8
SHARE REPRICING SPEED VALIDATION AND DOCUMENTATION 1.9
INTEREST RATE ASSUMPTIONS─RATES-UP SHOCK 1.10
INTEREST RATE ASSUMPTIONS─RATES-DOWN SHOCK 1.11
AAAALLLLMMMMPPPPrrrroooo
® Sample Credit Union As of March 31, 2011
FORECASTED INCOME SIMULATION SUMMARY
Three Year Cumulative Results
Rates-Up Shock
Benchmark Rates-Up Variance
Operational
No Change Shock From
At Risk Guideline
in Rate Guideline
Three Year Cumulative Results 3.00% Amount Percent
1 Forecasted Interest on Loans 7,562 8,808 1,246 16.5%
2 Forecasted Interest on Investments 1,093 2,258 1,166 106.7%
3 Forecasted Total Interest Revenue 8,655 11,066 2,411 27.9%
4 Forecasted Total Interest Expenses 1,819 5,441 3,622 199.1%
55 FFoorreeccaasstteedd NNeett IInntteerreesstt IInnccoommee 66,,883366 55,,662255 ((11,,221111)) --1177..77%% --1155..00%% --22..77%%
6 Forecasted Net Income 1,429 219 (1,211) -84.7%
Rates-Down Shock
Rates-
Benchmark Variance
Down Operational
No Change From
Shock At Risk Guideline
in Rate Guideline
Three Year Cumulative Results 1.00% Amount Percent
7 Forecasted Interest on Loans 7,562 6,901 (661) -8.7%
8 Forecasted Interest on Investments 1,093 712 (380) -34.8%
9 Forecasted Total Interest Revenue 8,655 7,614 (1,041) -12.0%
10 Forecasted Total Interest Expenses 1,819 953 (866) -47.6%
11 Forecasted Net Interest Income 6,836 6,661 (175) -2.6% -15.0% 12.4%
12 Forecasted Net Income 1,429 1,254 (175) -12.2%
References:
Confidential—For Internal Use Only Page 1.1
AAAALLLLMMMMPPPPrrrroooo® Sample Credit Union As of March 31, 2011
COMPARATIVE ANALYSIS OF RATES-UP SHOCK
TO BENCHMARK USING INCOME SIMULATION
SHOCK RATE: 300 BP
Shock Criteria: Instantaneous
I n T h o u s a n d s o f D o l l a r s
and Parallel
Assumptions: See pages 1.6, 1.8 Year One Year Two Year Three Three Years Cumulative
Bench Amt at Bench Amt at Bench Amt at Bench Amt at
Up % At Risk Up % At Risk Up % At Risk Up % At Risk
Forecasted Amounts: mark Risk mark Risk mark Risk mark Risk
1 Loan Interest Income 2,594 2,434 160 6.6% 2,939 2,520 419 16.6% 3,275 2,609 666 25.5% 8,808 7,562 1,246 16.5%
2 Investment Interest Income 663 343 320 93.5% 767 363 404 111.1% 828 387 442 114.2% 2,258 1,093 1,166 106.7%
3 Total Interest Income 3,258 2,777 481 17.3% 3,705 2,883 823 28.5% 4,104 2,995 1,108 37.0% 11,066 8,655 2,411 27.9%
4 Interest on Borrowed Funds 0 0 0 0.0% 0 0 0 0.0% 0 0 0 0.0% 0 0 0 0.0%
5 Dividends & Interest Paid 1,494 588 906 153.9% 1,901 606 1,295 213.7% 2,046 625 1,421 227.6% 5,441 1,819 3,622 199.1%
6 Total Interest/Cost of Funds 1,494 588 906 153.9% 1,901 606 1,295 213.7% 2,046 625 1,421 227.6% 5,441 1,819 3,622 199.1%
77 FFoorreeccaasstteedd NNeett IInntteerreesstt IInnccoommee 1,764 2,188 (425) -19.4% 1,804 2,277 (473) -20.8% 2,058 2,371 (313) -13.2% 5,625 6,836 (1,211) -17.7%
8 Loan origination fees 0 0 0 0 0 0 0 0 0 0 0 0
9 Other fees 304 304 0 314 314 0 323 323 0 941 941 0
10 Misc. income 24 24 0 25 25 0 26 26 0 75 75 0
11 Total Fees & Misc. Income 329 329 0 339 339 0 349 349 0 1,016 1,016 0
12 Total Margin 2,092 2,517 (425) -16.9% 2,142 2,615 (473) -18.1% 2,407 2,720 (313) -11.5% 6,641 7,852 (1,211) -15.4%
13 Operating Expenses 2,077 2,077 0 2,140 2,140 0 2,205 2,205 0 6,423 6,423 0
14 Forecasted Net Income 15 440 (425) -96.6% 2 475 (473) -99.5% 201 515 (313) -60.9% 219 1,429 (1,211) -84.7%
OPERATIONAL CONSIDERATIONS*
Maximum Net Interest Income at Risk Per
Guidelines N/A N/A N/A -15%
Forecasted Net Interest Income -19% -21% -13% -18%
Variance** N/A N/A N/A -3%
Forecasted Net Income -97% -100% -61% -85%
* Limits for interim years are optional
** Positive variances are favorable. Negative variances are unfavorable.
Confidential—For Internal Use Only Page 1.2
AAAALLLLMMMMPPPPrrrroooo® Sample Credit Union As of March 31, 2011
COMPARATIVE ANALYSIS OF RATES-DOWN SHOCK
TO BENCHMARK USING INCOME SIMULATION
SHOCK RATE: 100 BP
Shock Criteria: Instantaneous
I n T h o u s a n d s o f D o l l a r s
and Parallel
Assumptions: See pages 1.6, 1.8 Year One Year Two Year Three Three Years Cumulative
Banch Amt at Banch Amt at Banch Amt at Banch Amt at
Down % At Risk Down % At Risk Down % At Risk Down % At Risk
Forecasted Amounts: mark Risk mark Risk mark Risk mark Risk
1 Loan Interest Income 2,330 2,434 (104) -4.3% 2,266 2,520 (254) -10.1% 2,305 2,609 (303) -11.6% 6,901 7,562 (661) -8.7%
2 Investment Interest Income 261 343 (82) -24.0% 227 363 (136) -37.5% 225 387 (162) -41.8% 712 1,093 (380) -34.8%
3 Total Interest Income 2,591 2,777 (186) -6.7% 2,492 2,883 (390) -13.5% 2,530 2,995 (465) -15.5% 7,614 8,655 (1,041) -12.0%
4 Interest on Borrowed Funds 0 0 0 0.0% 0 0 0 0.0% 0 0 0 0.0% 0 0 0 0.0%
5 Dividends & Interest Paid 394 588 (194) -33.0% 287 606 (320) -52.7% 272 625 (352) -56.4% 953 1,819 (866) -47.6%
6 Total Interest/Cost of Funds 394 588 (194) -33.0% 287 606 (320) -52.7% 272 625 (352) -56.4% 953 1,819 (866) -47.6%
77 Forecasted Net Interest Income 2,197 2,188 8 0.4% 2,206 2,277 (71) -3.1% 2,258 2,371 (113) -4.8% 6,661 6,836 (175) -2.6%
8 Loan origination fees 0 0 0 0 0 0 0 0 0 0 0 0
9 Other fees 304 304 0 314 314 0 323 323 0 941 941 0
10 Misc. income 24 24 0 25 25 0 26 26 0 75 75 0
11 Total Fees & Misc. Income 329 329 0 339 339 0 349 349 0 1,016 1,016 0
12 Total Margin 2,525 2,517 8 0.3% 2,544 2,615 (71) -2.7% 2,607 2,720 (113) -4.1% 7,677 7,852 (175) -2.2%
13 Operating Expenses 2,077 2,077 0 2,140 2,140 0 2,205 2,205 0 6,423 6,423 0
14 Forecasted Net Income 448 440 8 1.9% 404 475 (71) -14.9% 402 515 (113) -21.9% 1,254 1,429 (175) -12.2%
OPERATIONAL CONSIDERATIONS*
Maximum Net Interest Income at Risk Per
Guidelines N/A N/A N/A -15%
Forecasted Net Interest Income 0% -3% -5% -3%
Variance** N/A N/A N/A 12%
Forecasted Net Income 2% -15% -22% -12%
* Limits for interim years are optional
** Positive variances are favorable. Negative variances are unfavorable.
Confidential—For Internal Use Only Page 1.3
AAAALLLLMMMMPPPPrrrroooo
® Sample Credit Union As of March 31, 2011
THREE SCENARIOS PRESENTED IN
GRAPHIC COMPARATIVE ANALYSIS OF INCOME SIMULATIONS
FORECASTED QUARTERLY NET INCOME FORECASTED ROA
$160 1.00%
e
m $140
o 0.80%
c $120
n
et I $100 A 0.60%
N $80 O
y R 0.40%
erl $60 d
Quart $$2400 caste 0.20%
casted ($2$00) Fore -00..2000%%
ore ($40)
F ($60) -0.40%
1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12
Quarter Quarter
BBeenncchhmmaarrkk RRaatteess--UUpp SShhoocckk RRaatteess DDoowwnn SShhoocckk BBeenncchhmmaarrkk RRaatteess--UUpp SShhoocckk RRaatteess--DDoowwnn SShhoocckk
FORECASTED NET WORTH RATIO (Capital) FORECASTED NET INTEREST MARGIN
15.0% n 4.50%
atio Margi 4.00%
h R 14.0% st 3.50%
ort ere 3.00%
W 13.0% nt
Net et I 2.50%
orecasted 1112..00%% orecasted N 112...050000%%%
F F 0.50%
10.0% 0.00%
1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12
Quarter Quarter
Benchmark Rates-Down Shock Rates-Up Shock Benchmark Rates-Up Shock Rates-Down Shock
Confidential—For Internal Use Only Page 1.4