Deposit Analysis : Repricing Runoff Analysis

This report provides institution specific estimates of core deposit repricing and runoff (decay) for ALM model inputs.  This enables more accurate analysis of earnings and equity at risk IRR, supporting stronger regulatory compliance with possibly enhanced performance.  A maintenance and update program supports the ongoing accuracy of the ALM model inputs over a three year period.

Institution specific, category level core deposit ALM model inputs are provided for Base Case (current rates) and for +/-300 bp rate shocks, in 100 bp increments.  Repricing and runoff data are delivered as spreadsheet values.  Calculated beta coefficients, average lives, present values, and effective durations are provided for reference or use as override inputs.

Following clear guidance provided by MPS staff, the Institution provides 3 to 5 years of monthly balances and rates paid for up to 10 deposit categories.  Non-interest expense and truncation point inputs can be customized if desired.

An executive summary (including a user guide), review of historic pricing, liquidity, and retention data, and category level, time period specific estimates of repricing and runoff are included in the spreadsheet based deliverable.  Prior year actual runoff is formally back tested against forecasted values and the statistical analyses are updated annually as part of the three year commitment.

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.