Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
$ 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
+$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
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
Next
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%
___________________________________________________________________________
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.
_________________________________________________________________________________