Published in: CUNA Finance Council
Timely and accurate management reporting is key to any credit union’s successful investment management process. There are four specific reports that are critical to the success of credit union investment portfolio managers and should be produced periodically:
- A portfolio holdings report.
- An MDRA or multi-dimensional risk analysis report.
- A partial or key rate duration report.
- An ex-post total return report.
Each of these reports provides critical information to credit union investment managers and should be utilized to develop a successful portfolio management framework.
Portfolio Holdings
A portfolio holdings report is a complete list of securities held in a credit union’s portfolio at a certain point in time. Sound reporting and management decisions start with a complete and accurate representation of a portfolio at a certain time. A credit union’s investment manager will look at a holdings report for inventory when trade decisions are made. The holdings report will also show other pertinent information such as maturity date, current par, and market price, as well as analytics such as duration, average life and Conditional Prepayment Rate (CPR). Exhibit 1 shows an example of a typical holdings report entry.