Main Menu | Reporting | My Reports | Select Report (Advanced Inc. Shock group) and Edit
The Maturity Analysis (Loans, CD's, and Misc. Gap) reports will provide a view of the application balances by type (fixed, floating, and adjustable) and their associated weighted average life and weighted maturity in months. This report can be used to track the impact on your liquidity in a decreasing/increasing interest rate environment.
The Weighted Average Life is the time when the principal amount has reached zero. The Weighted Average Maturity is the time to the stated maturity of the items. Typically, the weighted average life is somewhat less than the weighted average maturity due to payment schedules and prepayments.
The following screen displays the system parameters that can be customized by the bank.
There are two system parameters for these reports which can be changed by the user:
Parameter 1: ApplCode - The Maturity Analysis report can be printed for each application file. Valid selections are CD, LOAN, DDA, SAV, XMAS, AND MISC.
Parameter 2: Scenario - The default scenario is +-0. Seven shock scenarios are available. If you change this parameter, you may need to change the header to show the appropriate scenario you're using.
Calculations
A description of the weighted average life and weighted average maturity is shown below:
Weighted Average Life - is the time of the actual cash flows from the current capture date weighted by the item's balance. Based upon the item detail; payment term and payment amount, this could be considerably different than the stated maturity.
Example of Weighted Average Life:
Processing date is May 31, 2003
Loan #1 has a balance of $1,000,000, maturing May 31, 2005 with two annual payments of $500,000.
Loan #2 has a balance of $10,000, maturing May 31, 2013 and a single payment at maturity.
Loan #1 Balance |
Loan #2 Balance |
||||
$1,000,000 |
$10,000 |
||||
Years |
Loan #1 Payments |
Loan #2 Payments |
Principal Balances
Loan #1 + Loan #2 |
Period Cash flows
Princ. Bal x # yrs. |
Weighted Avg. Life Period Cash flows / Principal Balances |
1 |
500,000.00 |
500,000.00 |
500,000.00 |
||
2 |
500,000.00 |
500,000.00 |
1,000,000.00 |
||
3 |
0.00 |
||||
4 |
0.00 |
||||
5 |
0.00 |
||||
6 |
0.00 |
||||
7 |
0.00 |
||||
8 |
0.00 |
||||
9 |
0.00 |
||||
10 |
10,000.00 |
10,000.00 |
100,000.00 |
||
Totals: |
$1,010,000.00 |
$1,600,000.00 |
1.584 years or 19.0 months |
||
Weighted Average Maturity - is the time to the stated maturity from the current capture date weighted by the item's balance.
Example of Weighted Average Maturity:
Processing date is May 31, 2003
Loan #1 has a balance of $1,000,000, maturing May 31, 2005.
Loan #2 has a balance of $10,000, maturing May 31, 2013.
Loan #1 Balance: |
$1,000,000.00 |
||
Loan #2 Balance: |
$10,000.00 |
||
Years |
Principal Balances |
Loan Term Balances
Principal Balance x loan term |
Weighted Avg. Maturity
Loan Term Bal. / Principal Balances |
2 |
1,000,000.00 |
2,000,000.00 |
|
10 |
10,000.00 |
100,000.00 |
|
Totals: |
1,010,000.00 |
2,100,000.00 |
2.08 years or 24.9 months |
To convert years to months:
Example: 2.08 years
2.08 X 365 = 759.2 / 30.4167 = 24.9 months
30.4167 represents the average number of days in a month: 365 / 12 = 30.4167
