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Implementing SOFR in Models that do not have SOFR Settings

Implementing SOFR in Models (or Model Versions) that do not have SOFR Settings

As we mentioned in Part 1 of our SOFR series, some of today’s models don’t have the flexibility to easily incorporate the shift from LIBOR to SOFR, and model owners must find a way to overcome this hurdle. In this blog…

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The Transition from LIBOR

The Transition from LIBOR

As many financial institutions have been finalizing their transition away from the London Interbank Offer Rate (LIBOR), others are still re-configuring models that are impacted by the change. In Part I of this blog…

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U.S Treasury Yields Surpass China

U.S. Treasury Yields Surpass China, but What Does it Mean for Interest Rate Parity?

On Monday, April 11, 2022 – for the first time in twelve years – the spread between Chinese 10-year bonds and the comparable US Treasury didn’t just close but turned negative…

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Deposit Market Snapshot: May 2022

In the last couple of market summaries, I have begun by stating my overall view of the economy was one of cautious optimism. This time around I am more cautious and less optimistic…

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Mitigating Risk & Strengthening Model Framework with Good Governance

Mitigating Risk & Strengthening Model Framework with Good Governance

It has already been established that having a solid understanding of Interest Rate Risk (IRR) and a sound IRR modeling process is critical to supporting management’s deployment of balance sheet strategies for financial Institutions…

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