Services : ASC 820 Valuation

The MPS ASC 820 Valuation Service provides high precision Level 3 ASC 820-compliant non-DDA core deposit, CD, and loan fair values.

MPS calculates non-DDA core deposit fair values using the industry standard financial instrument approach, with institution specific or peer defined maturity inputs.  Balances and rates paid are constructed from underlying record level data.  An alternative funding cost curve (FHLB bullet term advance rates) is used to discount all-in cash flows (runoff, interest expense, and non-interest expense) in each future maturity bucket, by category.

Fair value for CD balances is calculated using an industry standard single path present value model.  Contractually defined maturities and coupon rates are derived from underlying record level data.  All-in brokered CD rates are used as discount rates.

Fair value for loan categories is calculated  using an annuity type single path present value model.  Contractually defined maturities and coupon rates are derived from  underlying record level data.  Recent new volume loan rates are used as discount rates.