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Table 1.

Sample Interest Sensitivity Analysis (GAP


Management) for Individual Bank
________________________________________________________
Volume of Bank Asset and Liability Items Maturing or Subject to Repricing
Within the Following Maturity Buckets (in millions of dollars)
___________________________________________________________________________
Assets and
One
Next
Next
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More
Liability Items
Week
30 Days
31-90
91-360
Than
Days
Days
1 Year
Totals
___________________________________________________________________________
Assets
Cash & deposits
owned
Marketable
Securiti
Business loans
Real estate loans
Consumer loans
Farm loans
Bank building &
Equipments
Total repriceable
assets

$ 100
200
750
500
100
50
--

-$50
150
80
20
10
--

-$ 80
220
80
20
40
--

-$110
170
70
70
60
--

-$460
210
170
90
40
200

$100
900
1,500
900
300
200
200

$1,700

$310

$ 440

$480

$1,170

$4,10
0

$ 800
50
550
100
300
---

$ 100
50
150
200
100
---

---450
----

---150
----

---300
-100
700

$150

$1,100

Liabilities & Net


Worth
Checkable
deposits
Saving accounts
Money market
deposit
$ 1800 $ 600
$ 450
Long term deposits
Short term
-$100
-$290
-$10
borrowings
-$100
-$390
-$400
Other Liabilities
94.4%
51.7%
97.8%
Net Worth
Liabilit Liabilit Liabilit
Total

+$330
-$70
320%
Asset

+$70
-0
106.4%
Asset

$900
100
700
1,200
400
100
700
$4,10
0

Repriceable
liabilities and
net
worth
Interest-sensitive
gap
Cumulative gap
Ratio of ISA to ISL
> The bank is

y
sensiti
ve
Intere
st
rate
rise

y
sensiti
ve
Intere
st
rate
rise

y
sensiti
ve
Intere
st
rate
rise

sensiti
ve
Intere
st
rate
fall

sensiti
ve
Interes
t
rate
fall

>Bank NIM will


squeezed if

Table 1(Continued)
_________________________________________________________________________
Interest yield on ISA currently are 10%, ISL cost 8%.In contrast, fixed
assets yield 11%,fixed liabilities cost 9%.If rates stay at these levels, the
bank net interest income and NIM will be:
One
Next
Next
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More
Week
30 Days
31-90
91-360
Than
Days
Days
1 Year
___________________________________________________________________________
Total Interest
income
Total interest cost

Net Interest
Income
Net Interest
Margin

0.10*$1,70
0
+0.11*[4,1
001,700]
0.08*$1,80
0
-0.09*[4,1
00-1,800]
=$83
$83/4,100
=2.02%

0.10*$31
0
+0.11[4,
100
-310]
0.08*$60
0
0.09[410
0
-600]
=$84.9
$84.9/4,1
00
=2.07%

0.10*$44 0.10*$48 0.10*$117


0
0
0
+0.11[4,1 +0.11[41 +0.11[41
00
00
00
-440]
-480]
-1170]
0.08*$45 0.08*$15 0.08*$110
0
0
0
0.09[4100 0.09[4100 0.09[4100
-45]
-150]
-1100]
=$82.10 =$80.20 =$81.30
$82.10/41 $80.20/41 $81.30/41
00
00
00
=2.00%
=1.98%
=1.98%

___________________________________________________________________________

Suppose interest rate attached to rate sensitive assets & liabilities rise two full %
points, to 12% & 10%,respectively.

___________________________________________________________________________
Next
91-360

One

Next

Next

Week

30 Days

31-90

More
Than
Days

Days
1 Year
___________________________________________________________________________

Net Interest
Income
Net Interest
Margin

0.12*$1,7
00
+0.11*[41
001700]
0.10*$180
00.09*[410
0-1800]
=$81
$81/4100
=1.98%

0.12*$31
0
+0.11[41
00310]
-0.10*600
0.09*[410
0
-600]
=$79.10
$79.10/41
00
=1.93%

0.12*$440
+0.11*[41
00440]
-0.10*450
0.09*[410
0-450]
=$81.90
$81.90/41
00
=2.00%

0.12*$480
+0.11*[41
00480]
-0.10*150
0.09*[410
0
-150]
=$85.30
$85.30/41
00
=2.08%

0.12*$117
0
+0.11*[41
00-1170]
0.10*1100
0.09*[410
01100]
=$82.70
$82.7/410
0
=2.02%

_________________________________________________________________________________
We note by comparing interest income & margin for each time period (maturity
bucket) that the banks net interest income & margin fall if it is liability sensitive
when interest rates go up. When the bank is asset sensitive & rates rise, the
banks net interest income & margin increase.
_________________________________________________________________________________