Position Evaluation
Use
The development of asset and liability items from both the on-balance sheet and off-balance sheet areas is compared in the position evaluation. You are able to examine the effect of interest rate changes on the variable side opposite the fixed interest rate gap, and the risks and opportunities arising from this, for the respective maturity band date.
You can use the
Commitment indicator
to control whether only fixed rate items (commitment indicator is set to
Interest Commitment
) or also the variable rate items (commitment indicator is set to
Capital Commitment
) are to be included in the position evaluation.
You can find the
Commitment Indicator
in gap analysis/ALM simulation by choosing
Settings
Data Relevant for Display.
Note
Note that setting the
Commitment Indicator
affects not just the position evaluation columns but also the maturity evaluation
columns
.
Features
The system differentiates between the key date position evaluation, and the average position evaluation. In the key data position evaluation, the positions are shown for a particular key date (maturity band date), whereas in the average position evaluation the average position is displayed. The average balance refers to the period of time between two sequential date values in the maturity band. If you choose a daily maturity band, then the key date position and average position will be the same.
Example
Term of the transaction: 11/01/03 – 11/15/03
Volume: 1,000,000
Maturity band date |
Key date position |
Average position |
11/01/03 |
1,000,000 |
1,000,000 |
11/30/03 |
0 |
1,000,000 x 13/29 = 448,275.86 |
The positions are displayed in the position evaluation with the product interest rates contracted in the past, and the respective opportunity interest rates . The static interest rate can be displayed instead of the contracted product interest rate. The interest rates displayed are volume-weighted interest rates. In another column, the system displays the gap respective to each date of the maturity band date .
Premium/Discount
In position evaluations, the premiums and discounts associated with loans are handled in the same way as any other position-forming instruments. In the calculation of the average position, premiums and discounts are accrued across the relevant time period. You can display either the net discount or gross discount (
Display premium/discount
indicator in the ALM valuation type). In the net display, the repayment amounts are adjusted automatically by the amount of the discount/premium. In the gross display, the repayment amounts are shown fully, and the adjustment takes place in the individual display of the premium/discount on the other side of the balance sheet respectively.
Since the premium or discount also has an impact on the future interest payments, you can make a setting in Customizing to determine whether the positions and the premium or discount amount are shown together with a nominal interest rate or a static interest rate.
Key date position evaluation
Key date positions are calculated for lending and borrowing business from the principal payments of the transactions selected from the portfolio hierarchy. Interest payments are taken into account.
The principal payments are added together, starting from the latest principal payment and going up to the respective key dates in the maturity band. The totals on the key dates form the key date positions.
Using the nominal product interest rate for each principal payment, an average product interest calculation can be assigned to each position. This is displayed for each key date, and is weighted by volume.
The key date gap is the difference between the asset and liability-side key date position.
Average position evaluation
As key date positions can be calculated on a daily basis, it is possible to calculate to the day average positions for each maturity band date. Using nominal interest rates, you can calculate average interest income or expense for each average asset side or liability side position.
Example:
For an example of the gap analysis/ALM simulation evaluations, choose the following links: