This report is for institutions that want to economically obtain inputs to measure their equity at risk IRR position for regulatory purposes. Repricing, average lives, present values, and durations are provided for a normally limited number of categories in multiple rate shock scenarios. Basic liquidity issues are also addressed, via summary level analyses of balances supplied behaviors.
The value related behaviors of deposits are the primary focus of this report, with liquidity issues also touched on. Institution specific time series data is statistically analyzed and forecasts for multiple rate scenarios are presented in a quick and easy to use format.
The MPS Express Deposit Analysis Report will empower your institution to:
- More accurately measure equity at risk IRR using the right deposit value inputs
- Better understand deposit based supply, liquidity, and rates paid/repricing relationships
- Find best balances duration drivers by category and identify high duration branches
- Better communicate true franchise value to capital markets and other audiences
The report is limited in content by design (comprehensive documentation is optionally available). Report findings are presented in easy to use, simplified formats. Interpretation and application of results is by the client. The standard deliverable is a compact review of the institution’s historic data and the report’s forecast results are presented in a simple descriptive write up. Term and value related information is emphasized, although total balances supplied/liquidity behaviors and repricing forecasts are addressed. Forecast data is provided at Base Case (current interest rates) and for a series of +/-300 bp rate shock tests, in increments of 100 bp. Inputs for financial models (ALM and FTP/profitability) are readily derivable.
Clients can customize their standard report with optional components:
Additional Categories: Normally only up to six deposit categories are analyzed in this report. Additional category level analyses (up to nine) are available on an extra cost basis.
Comprehensive Documentation: Should complete documentation of report data, processes, and forecasts be necessary, it can be provided for a minimal fee.
Segmentation Analysis: The historic account level data that underlie the statistical estimations can be drilled down into to identify account attributes or customer characteristics that are determinants of “best balances” (those with favorable value related patterns). Segmentation analyses can also show relative performance by branch, state, or across holding company banks.
Analog Category Analysis: In some cases time series data is not available for the full period necessary or a new category with no data is being contemplated. In such instances, expected deposit behaviors can be benchmarked against averages from a custom set of MPS deposit analysis client forecast data. Selection of institutions is based on location, asset size, operating type, and other characteristics.
Maintenance: Regulatory compliance and business confidence require that forecasts of deposit behavior be monitored over time, periodically back tested, and updated at least annually. All of these actions are accomplished in MPS’s report maintenance program. Back tests and updates are also available as necessary if they are needed more often.
Data Production Assistance: If institution staff, expertise, or time is limited, MPS can provide assistance with data set creation. Normally this intakes dumps of account level data and transforms them into data formatted as “run ready” for MPS statistical analyses.
All deposit analyses are produced using the MPS Advanced Assessment Methodology©. This patented, advanced econometric approach analyzes historic deposit behavior in a simultaneous equations system that reflects banking practice and all depositor influences. It produces high precision supply and value forecasts that quantify total balances, rates paid, and retention behaviors, plus inter-category interdependencies. Because unambiguous linkages are maintained from the data to every application, audit trails for all reports are clear and complete.