Setting Up an Advanced Decay Category

Use this information to create categories with multi-year or multi-month capabilities.

1. Navigate to Setup > Decay Tables > Advanced Tables.
2. Select the What If model that the new category belongs to.
3. Select Add.
4. Add a unique Table Name.
5. Enter the number of Time Periods.
6. Select whether the rows in the grid represent Annual or Monthly time periods.
   The limit is 30 Annual or 120 Monthly time periods.
7. Select Save.
8. Select Manage Scenarios.
   The Manage Scenarios page opens.
9. Select Add to add a rate shock scenario.
10. Enter a whole number value from -1000 through 1000.
11. Repeat steps 9–10 until the necessary scenarios are added.
    Adding rate shocks only affects the category currently being modified.
12. Select Apply.
    The rate shocks are added as columns in the grid. Rate shocks are shown from lowest to highest.
13. Enter the appropriate decay speeds in the grid.
    When entering decay speeds, it is important that the speeds that are initially entered in the grid are time-period appropriate. If Monthly time frames appear, then use Single Monthly Mortality (SMM) rate speeds. If Annual periods are used, then you input rate speeds Constant Prepayment Rate (CPR) values.
14. Select Save.

If your decay studies indicate that 90 percent of your current demand deposit accounts (DDAs) will leave the institution within 15 years, then use 14.2 as the Flat Rate in the decay table.

If you expect 95 percent of the accounts to decay in the same amount of time if rates go up 100 bp, then enter 18.1 in the +100 field.

Sample Annual Decay Rates

The Year 15 Row in an Advanced Decay Table

The formula for determining the total decay rate is:

Where:

• n = number of years
• y = fraction remaining after n years