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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
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.
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.
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.