Table of Contents - Euromoney Institutional Investor PLC

CONTENTSChapter 12: Asset/liability management of credit unions 162Ralph E. ReardonIntroduction 162Assessment methodology 162Evaluation of the ALM model and assumptions 165Core share valuation methodology 166Quantification of interest rate risk to capital 167Major assumptions 173Conclusion 174Part V: Asset/liability management of insurance companies 175Chapter 13: Creditworthiness and asset/liability management ofinsurance companies: a rating agency perspective 177Robert Riegel and Joel LevineIntroduction 177Rating methodology 177Qualitative factors 179Quantitative analysis 182Ratio analysis cannot capture all forms of financial risk 196Blending qualitative and quantitative factors 196Conclusions 197Chapter 14: Asset/liability management for life insurers:lessons learned and future directions 198Anson J. Glacy, Jr and Andres E. VilmsIntroduction 198Life insurance product types 198Life insurance investment practices 200Financial reporting considerations 201Historic metrics and methods 202The events of 2002 and their aftermath 207Future directions 208Conclusion 213Chapter 15: Portfolio benchmarks for property-casualty insurers:an asset/liability application 214James E. BachmanIntroduction 214The P&C industry and its common fixed-income benchmark 215ALM as a benchmark development tool 219Impacts of equities, changing underwriting results, and leverage 223P&C segment-specific customized benchmarks 226Summary 229viiiAsset/Liability Management of Financial Institutions: Maximizing Shareholder Value through Risk-Conscious Investing – Contentswww.euromoneybooks.com© Euromoney Institutional Investor PLC

CONTENTSNature of funding 283Risks of funding level volatility 285Overlay portfolios that supplement asset allocation 286Managing the interest rate dimension of pension plan ALM 287Managing the equity dimension of pension plan ALM 287Combining equity and interest rate dimensions usingtwo-factor options 287Integration of pension plan with corporate balance sheet 289Conclusion 290Part VII: Asset/liability management of government-sponsoredenterprises and real estate companies 291Chapter 20: Asset/liability management at Fannie Mae 293Cherise McGovern, Peter Niculescu and William QuinnIntroduction 293Fannie Mae’s role and key characteristics 293Mortgage investment dynamics 295Measures of interest rate risk 298Interest rate risk management 299Conclusion 307Chapter 21: Asset/liability management at Freddie Mac 308Nazir Dossani, Peter Federico and Jan LuytjesIntroduction 308Background and investment management process 309ALM: identifying and measuring risk 312ALM: key models used in measuring risk 316ALM: managing and controlling risk 322Reporting and disclosure of risk 324Conclusion 325Chapter 22: Asset/liability management of real estatefinance companies 330Richard SheaIntroduction 330ALM dimensions of specialty real estate companies 332Commercial real estate finance companies 334Residential real estate finance companies 337Structural issues that affect ALM 339Conclusion 340xAsset/Liability Management of Financial Institutions: Maximizing Shareholder Value through Risk-Conscious Investing – Contentswww.euromoneybooks.com© Euromoney Institutional Investor PLC

CONTENTSPart VIII: Regulatory and accounting aspects ofasset/liability management 341Chapter 23: Regulatory environment overview 343Edward T. Hida II and Ahmet YetisIntroduction 343Depository and lending institutions 344Insurance industry 350Asset management industry 356Final remarks 358Chapter 24: Accounting standards and requirements 363Elias Habayeb and Sachin SethiSFAS-133: accounting for derivative instruments andhedging activities 363SFAS-115: accounting for certain investments in debt andequity securities 366SFAS-140: accounting for transfers and servicing of financialassets and extinguishments of liabilities 367SFAS-150: accounting for certain financial instruments withcharacteristics of both liabilities and equity 370Chapter 25: Implications of regulatory and accounting requirementsfor asset/liability management decisions 373Edward T. Hida II, Elias Habayeb, Ahmet Yetis and Sachin SethiHedging and derivatives accounting 373Investment accounting and liquidity management 381Securitization 382Accounting treatment of tier 1 and tier 2 capital items 383Asset/Liability Management of Financial Institutions: Maximizing Shareholder Value through Risk-Conscious Investing – Contentswww.euromoneybooks.com© Euromoney Institutional Investor PLCxi