BancPath Portfolio Analytics Report (PARs)
By David Farris
Asset Management Group, Inc. (AMG) is a wholly owned subsidiary of Country Club Bank and has been serving community banks since 1995. AMG offers a range of asset/liability management services designed to meet regulatory expectations while also managing risk and improving margins.
AMG’s PARs report, which stands for Portfolio Analytics Report, is a detailed report and analysis of a bank’s bond portfolio. The report provides all characteristics and analysis at the CUSIP level as well as many useful summary, cash flow, trend and performance reports. It is an excellent tool to assist in the management of the bond portfolio. The report is provided in PDF format but the entire report is also available in Excel so that the user may sort and organize information as needed.
The first section of the report is an executive summary. This section provides a report overview and a summary of the portfolio by security type, current par, book value, market value, coupon, average life, yield, duration and percent of the total portfolio. Following is a quarterly cash flow maturity ladder by security type. Purchases year to date by security type are shown here and the overall purchase amounts for each month are graphed against treasury rates to highlight purchase activity versus interest rate levels. The final two pages of the summary show municipal holdings by rating and state along with issuer concentration by federal agency for MBS.
Section two contains reports on market information designed to add perspective to the investment process, especially as it relates to interest rates, spread and time. This section shows the current treasury yield curve and how rates today compare to rates over the last 24 months. The 10yr regression analysis for the 2yr and 10yr treasury rates provides perspective on how today’s current levels of interest rates compare historically over the past 10 years. The portfolio gain or loss vs. book is sorted by security type and shows the gain or loss at base and as interest rates change up and down 300 basis points (bps).
The third section shows cash flow and performance reports, which provide information on both the potential liquidity risk inherent in the portfolio and portfolio performance over a period of time.
Cash flow graphs and charts of projected cash flows by calendar year and security type are shown for base and up and down 300 bps. Percentage changes vs. base are shown for the yield curve shifts. This report is very useful to analyze expected returns of principal from the portfolio to plan liquidity and reinvestment strategies.
The performance reports show the historical total return by security type for the last one and three years and projected one-year total returns for interest rate shifts +-300. For the total securities portfolio, the report shows the total gain or loss, average yield, total return, average maturity and average duration. For comparison, these metrics are shown for the top and bottom 10% of BancPath clients, based on total return, and are also shown for the last 3, 6, 9 and 12 months. Finally, the performance report section shows par amount purchased by calendar month graphed vs. the 3yr TSY rate and also shows the yield and duration of the purchases for each month. This is useful to view the banks purchases vs. interest rate levels. The same graph is also provided for the top and bottom 10% of performers for BancPath clients for comparison.
Section four of the report assists the bank with developing an action plan going forward based on the current level of interest rates and the current portfolio make up.
The addendum contains a detailed security listing by CUSIP containing all relevant security information along with book value, market value, book yield, tax-equivalent yield and gain or loss vs. book. This is sorted by most likely maturity (final maturities are adjusted for expected calls on municipal bonds and callable agency bonds) but, as mentioned previously, is also available in Excel so that users can download and sort as needed. Also included by CUSIP for interest rate shifts +-300 bps are projected total returns, durations, gain or loss vs. book, computed (projected market) prices and average lives. A more detailed municipal bond report by CUSIP contains state of issuance, Moody’s and S&P ratings and credit enhancement. A summary municipal bond report shows summary totals by state. The final report in the addendum is a CUSIP level report on all MBS and CMO holdings.
For further information on our PARS Reporting or any of our other reporting and consulting services, please feel free to reach out to your Capital Markets Group Investment Sales Representative or contact AMG directly at 800-226-1923 or AMG@CountryClubBank.com.
This information is intended for institutional investors only. The material provided in this document/presentation is for informational purposes only and is intended solely for private use. Past performance is not indicative of future results. This material is not intended as an offer or solicitation for the purchase or sale of any financial instruments.
•Not FDIC Insured •No Bank Guarantee •May Lose Value