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Selected Asset & Liability Price Tables

The Office of the Comptroller of the Currency (OCC) will no longer publish the Selected Asset & Liability Price Tables (price tables) after the December 31, 2011, reporting cycle. These tables are published to provide transparency for the assumptions and data used in the Office of Thrift Supervision (OTS) Net Portfolio Value (NPV) Model. Because the NPV Model is being discontinued after the December 2011 reporting cycle, this data will no longer be published.

Most of the information in these tables is available from other sources, such as the Federal Reserve or private data providers, and the formulas and models are included in the OTS model manual. The OTS price tables are not intended to represent industry benchmarks and should not be used as such. We have received numerous inquiries from financial institutions and others that have used these tables for their interest rate risk measurement processes or other purposes. We caution against doing so because many of the assumptions used in the OTS NPV model are unique to the thrift industry and may not be appropriate for other applications. Also, much of the data underlying the non-maturity deposit and prepayment models were generalized and not company-specific.

Following is specific information about the sources of information contained in the price tables. This information supplements the notes already contained in the price tables themselves.

Mortgage Security Prices

  • Security prices for fixed-rate and adjustable-rate pools: These option adjusted prices are generated by the NPV model. They can be generated, however, by many asset liability management (ALM) models and can be obtained from various private sources, such as Bloomberg Financial Markets.
  • Price indications for fixed-rate and adjustable-rate mortgage backed securities (MBS): These prices are gathered directly from Bloomberg Financial Markets.

Prepayment Rate Estimates

These estimates are generated by the OTS NPV Model using proprietary OTS functions. The prepayment functions are detailed on page 13 of the price tables. The Federal National Mortgage Association (FNMA) 60-day commitment rate on 30-year fixed-rate mortgages is used as the reference rate in all fixed-rate functions.

Servicing Costs and Fees

These are generated by the OTS NPV model using the OTS prepayment model to estimate cash flows in various scenarios and calculate a present value of these future cash flows.

Deposit Intangibles

These are generated by the OTS NPV model according to proprietary decay rate and rate change assumptions. We encourage institutions to use their own assumptions tailored to their customer base and pricing behavior.

Interest Rate Cap Prices

These prices are generated by the OTS NPV model; however, they can also be generated by ALM models and by private pricing sources.

Par Rates

These rates are obtained from Bloomberg Financial Markets and are also available from other sources.

Spot and Projected Future Rates

The term structure for these rates is generated by the OTS NPV model using data from the U.S. Treasury, Federal Reserve, and bank rate monitor sources. They can also be estimated by ALM models and can be obtained from other private sources.

Selected Interest Rates

We accessed data from the following sources.

Federal Reserve

  • Consumer Credit G.19: 24-month personal loan rate, which gives us the other loan rate.
  • Survey of Terms of Business Lending - E.2: Weighted average rate on all commercial loans of less than $1 million, which gives us the commercial loans rate.
  • Selected Interest Rates - H.15: Six-month secondary market CD rate + 100 bp gives us the loans on deposits rate.

BondsOnline

  • The corporate bond composite yield gives us the corporate securities rate.

Bank Rate

  • The 48-month new car rate gives us the auto loans four-year rate.
  • The fixed credit card rate gives us the credit cards fixed rate.
  • The adjustable credit card rate gives us the credit cards adjustable rate.