In today’s environment, one focus of regulators (and hopefully all bankers, as well!) is on a bank’s preparedness for rising interest rates. While it’s likely that the majority of your preparation will happen on the deposit and loan sides of the bank, you can take some simple steps to tweak your bond portfolios that can have huge long-term implications to the bank’s bottom line in higher interest rate environments, with nominal impact to short-term income and market value.
|
|
FG G18303
|
New bond
|
|
gain taken
|
$0.00
|
$21,400.00
|
|
yield year 1
|
$40,400.00
|
$21,700.00
|
|
TOTAL INCOME
|
$40,400.00
|
$43,100.00
|
|
|
|
|
|
price on your books now
|
101.25
|
107.75
|
|
price on books 1 yr. from now
|
100.91
|
104.97
|
|
price of bond after rate shift
|
85.78
|
99.25
|
|
amount of bonds left
|
$810,005.00
|
$691,779.00
|
|
market value loss
|
$122,513.26
|
$39,561.11
|
|
|
FG G18303
|
New bond
|
|
gain taken
|
$0.00
|
$21,400.00
|
|
yield year 1
|
$40,400.00
|
$21,700.00
|
|
yield year 2
|
$32,724.20
|
$15,011.60
|
|
TOTAL INCOME
|
$73,124.20
|
$58,111.60
|
|
|
|
|
|
price on your books now
|
101.25
|
107.75
|
|
price on books 2 yrs. from now
|
100.56
|
101.66
|
|
price of bond after rate shift
|
86.81
|
100.06
|
|
amount of bonds left
|
$590,417.00
|
$473,393.00
|
|
market value loss
|
$81,182.34
|
$7,544.70
|
Blake Scharlach
Asst. Vice President
TIB Capital Markets
bscharlach@mybankersbank.com
| TIB Fed Funds Rate - Previous Day | |||||
|---|---|---|---|---|---|
| Agent | 0.03% | Principal | 0.20% | STAR Principal | 0.25% |
| Key Indices/Commodities | |||
|---|---|---|---|
| 1 - Month LIBOR | 0.23% | Dow Jones | 10511.71 |
| 3 - Month LIBOR | 0.25% | NASDAQ 100 | 2349.26 |
| 1-Yr LIBOR | 0.86% | S&P 500 | 1137.80 |
| 1-Yr CMT | 0.39% | Spot Gold | 1103.60 |
| Prime | 3.25% | Spot Silver | 16.90 |
| 3-yr LIBOR Swap/Offer | 1.73% | Spot Crude Oil | 81.70 |
| 5-yr LIBOR Swap/Offer | 2.65% | CRB Index | 273.66 |
| 3 Mo - Fed Fund Futures | 0.2% | 6 Mo - Fed Fund Futures | 0.31% |
| US Treasury Yields | US Non-Callable Agency Yields | ||
|---|---|---|---|
| Yield | Maturity | Yield | Spread |
| 0.04% | 90 - Days | ||
| 0.10% | 180 - Days | ||
| 0.88% | 2 - Year | 1.04% | 16bp |
| 1.44% | 3 - Year | 1.69% | 25bp |
| 2.36% | 5 - Year | 2.63% | 27bp |
| 3.70% | 10 - Year | 3.89% | 19bp |
| 4.66% | 30 - Year | ||
| 282 BPs | Yield Curve(2's-10's) | ||
| Sample 1x Callable Agency Issues | |||
|---|---|---|---|
| Description | Call Date | YTC | YTM |
| FHLB 1.50 12/24/12 | 3/11 | 1.50% | 1.50% |
| Select MBS Levels | |||
|---|---|---|---|
| Description | Coupon | Yield | Spread/Duration* |
| 15-Yr FNMA | 4.00% | 3.5% | 98 / 4.54 |
| 30-Yr GNMA | 4.50% | 4.29% | 49 / 8.06 |
| *Duration @ 12 month Historical CPR | |||
| Morning Commentary: | Blake Scharlach |
|---|---|
The |
|
Information contained herein is based on sources we believe to be reliable but its accuracy is not guaranteed. Customers should rely on their own outside counsel or accounting firm for specific circumstances. The securities, yields or levels discussed herein are for illustration purposes and are not guaranteed, not obligations of any bank, thrift or other entity and are not insured by the FDIC.
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