NEW YORK - Four companies are introducing a joint service that will mark to market bank assets and liabilities, test them for interest-rate swings, and measure the effect of the swings on risk-based capital.

The price is about $9,000 per year for most banks if all four components that make up the new service are ordered.

The package is designed to help banks comply with new interest-rate risk and marked-to-market regulations like FDICIA 305, FAS 115, and FAS 107, according to Con A. Rusling, president of Sheshunoff Information Services Inc.

Venture Members

Two of the companies in the joint venture - Sheshunoff and the Asset Backed Securities Group - are part of Thomson Financial Services, the parent company of American Banker.

Trepp & Co. Inc., a securities - valuation firm, and RAG Finnancial Corp., which markets cash-flow models, are the other members of the team.

Other competitors like Vinning Sparks, Memphis, and Plansmith, Chicago, offer volatility-testing and portfolio-valuation services. But up until now, no one has combined the services.

Competitors say the $9,000 price of the new product may be an obstacle to community bankers because Sheshunoff products and services are generally in a lower price range.

Business Partners

Mr. Rusling said 70 banks already are using the service. Several large financial institutions have agreed to act as business partners and sell the product to their correspondent customers. They are Texas Commerce Bankshares, Houston; First U.S.A., Dallas; Bankers Bank of the West, Denver; and Bank One Capital Corp., Indianapolis and Phoenix.

Banks that sign up will be given data-entry software with which to input their asset and liabilities every quarter. Securities can be entered by CUSIP.

"It's the same kind of thing as a Schedule J or call report, just more detailed," said Robert C. Colvin, managing director of RAF.

The four products are also available individually. The Sheshunoff Market Volatility Report, priced at $3,000 per year, is designed to help banks comply with FDICIS 305 and FAS 115.

|Shock-Testing' data

The report, according to the companies, analyzes the bank's investment portfolio by individual CUSIP and incorporates current market value data on both the bank's loans and deposits. The values are then "shock tested" to see how they would hold up under interest-rate swings of 200 basis points. The shocks are staged in 50 basis point increments.

"It gives you the present and fair-market value of all securities, loans, and deposits in nine different interest-rate environments," said Mr. Colvin.

The impact of rate swings on risk-based bank capital is also assessed.

The Sheshunoff Fair Value Report, which shows the current value of a balance sheet as required by FAS 107 is also priced at $3,000 per year. But it can be purchased with the volatility report for a total of $4,500 per year. Mr. Rusling said it includes month-by-month cash streams, book rate, and discount rate so banks can give examiners documentation verifying their final numbers.

The Shesunoff Interest Rate Risk Management Report, the third product in the package, is an analytical tool for balance-sheet management. It costs $6,000 if purchased separately.

The final product, the Sheshunoff Balance Sheet Manager, allows bankers to perform "what if" drills on their personal computers down to the CUSIP level of their investment portfolio.

Subscribe Now

Access to authoritative analysis and perspective and our data-driven report series.

14-Day Free Trial

No credit card required. Complete access to articles, breaking news and industry data.