tailieunhanh - Interest Rate Risk Monitor: Introduction and Overview

Most discussion on interest spreads in Jamaica is based on the difference between the average loan rate and the average rate on time deposits as published by BOJ. For many years, the rate payable on savings deposits was controlled and was adjusted periodically to ensure a real interest return for small savers. Rates on time deposits varied according to market conditions and hence represented a more accurate measure of commercial bank pricing policy. For this reason, the spread published by BOJ over a long period has been the difference between the average loan rate and the. | Interest Rate Risk Monitor Introduction and Overview THE BAKER GROUP _ 1 F softwaresolutions inc. THEJ BAKER GROUP SOFTWARE SOLUTIONS INC. Interest Rate Risk Monitor Introduction and Overview Interest Rate Risk Management requires proper analysis of balance sheet data in a dynamic context and a good reporting system is necessary for that analysis. The Interest Rate Risk Monitor IRRM has been designed to satisfy the fundamental needs of a sound reporting system. The data is thorough and detailed but the reports are readable and useful for risk assessment and strategy development. Separate reports are designed for the three primary constituencies who will make use of them bank management bank directors and regulatory authorities. Key reports are accompanied by descriptive text and explanation to assist in interpretation and analysis. Summary ALCO This is the executive summary for an IRRM report. It provides the essential information necessary for analysis. This includes the following reports A L Mix A snapshot of the balance sheet as of report date. This report shows broad categories of assets and liabilities and essential measures of those items across the columns. Key liquidity measures are also shown on this page along with pie charts of the asset liability mix. This page provides a starting point for understanding the interest rate risk position of the bank. Among other things the balances of various asset and liability categories are listed along with the percentage of each balance that is rate sensitive re-priceable in the next 12 months. Existing book yields and rates are shown alongside the new reinvestment rates for each category so users can get an idea of rate differentials for repricing balances and the expected impact on interest income and expense. Balances 000 8 Book Value of Book TA Total is of Segment Rate Sensitive 1 Year Book Yield Rate Full Reinv Indx Rate Rate 12 Mo. Proj Yield Rate Avg Life Effective Duration Effective Convexity Fixed Var. Irrt.

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