Interest rate sensitivity gap

One of the most basic means for banks to implement interest rate risk management

Interest rate sensitivity gap

refers to the difference between assets and liabilities that will expire or re-determine interest rates within a certain period (such as one month or three months from the interest payment date).

interest rate sensitivity gap = interest rate sensitive assets-interest rate sensitive liabilities.

interest rate-sensitive assets or liabilities refer to assets or liabilities whose income will fluctuate due to the influence of interest rates.

interest rate-sensitive assets: short-term loans, short-term investments and interbank deposits.

interest rate sensitive liabilities: short-term deposits and interbank borrowing.

if assets are greater than liabilities, it is a positive gap.

if the assets are less than the liabilities, it is a negative gap.

[ For example ]

For example, Orange has a commercial bank with a short-term loan of 5, yuan, a short-term deposit of 4, yuan and a net asset of 1, yuan, so the interest rate sensitivity gap is 1, yuan.

At present, the market interest rate is 5%, and there are 5 pieces of net interest income. If the expected interest rate rises to 6%, it will be 6 pieces of net interest income, and the more you earn, the more you earn. Positive gap, interest rate rises well.

if the short-term loan is 4,, the short-term deposit is 5,, and the net assets are-1,, then the interest rate sensitivity gap is-1,, which is a negative gap. At present, the market interest rate is 5%, and there is a net interest expense of 5 yuan. If the expected interest rate rises to 6%, it will be a net interest expense of 6 yuan. Thanks to 1 yuan, the higher the interest rate, the more you will lose. Negative gap, interest rate decline is good.