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Interest rate risk:

repricing gap model

Res$,  Sironi  (2008)  


Koch,  MacDonald  (2003)  
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IL CONCETTO DI GAP

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Possibili strategie di gestione
•  Immunizzazione (matching) : GAP =0
•  Gap direzionale (mismatching):
–  Se si prevedono tassi in rialzo: GAP>0
–  Se si prevedono tassi in ribasso: GAP <0

•  Ipotesi forti:
–  Spread tra tassi attivi e passivi immutato quando cambiano tassi
di interesse
–  Immutabilità volumi e composizione di bilancio su iniziativa della
clientela (customer relationship)
–  Illimitato spazio di manovra nella gestione dei volumi e degli
strumenti (incompletezza, indivisibilità)
–  Modificabilità istantanea di volumi e mix (tempi di manovra)
–  Vincoli regolamentari

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LA DIMENSIONE DEL BUCKET TEMPORALE:
UNA SCELTA IMPORTANTE

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Es: GAP a 6 MESI è nullo?
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COSA COMPORTA UN GAP POSITIVO?

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Mettiamoci alla prova
RSA   RSL   Marginal  Gap   Cumula$ve  Gap  
0-­‐1  mese  
1-­‐3  mesi  
3-­‐6  mesi  
6-­‐12  mesi  
1-­‐5  anni  
5-­‐10  anni  
10-­‐30  anni  
totale  

Cosa segnalano i GAP?


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+30  bp   +60  bp  

-­‐50  bp   -­‐40  bp  

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 Le  variazioni  dei  tassi  di  interesse  
conseguenA  a  decisioni  di  poliAca  monetaria  
riguardano  contestualmente  sia  i  tassi  
debitori  che  quelli  creditori  e  si  applicano  
con  modalità  tali  da  non  recare  pregiudizio  
al  cliente».  ART  10,  legge  248/2006   36  
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Steps that banks can take to reduce
interest rate risk
•  Calculate periodic GAPs over short time
intervals.
•  Match fund repriceable assets with similar
repriceable liabilities so that periodic GAPs
approach zero.
•  Match fund long-term assets with noninterest-
bearing liabilities.
•  Use off-balance sheet transactions, such as
interest rate swaps and financial futures, to
hedge.
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Various ways to adjust the effective rate sensitivity
of a bank’s assets and liabilities on-balance sheet.

Objective Approaches

Buy longer-term securities.


Reduce asset Lengthen the maturities of loans.
sensitivity Move from floating-rate loans to term loans.

Buy short-term securities.


Increase asset Shorten loan maturities.
sensitivity Make more loans on a floating-rate basis.

Pay premiums to attract longer-term deposit


Reduce liability instruments.
sensitivity Issue long-term subordinated debt.

Pay premiums to attract short-term deposit


Increase liability instruments.
sensitivity Borrow more via non-core purchased liabilities.

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Repricing gap
esercizi

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Esercizio 1

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Esercizio 2

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Esercizio 3

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Esercizio 3

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Esercizio 4
Factors affecting NII.
•  Changes in the level of i-rates.
•  ΔNII = (GAP) * (Δiexp.)
–  Note: this assumes a parallel shift in the yield curve
which rarely occurs
•  Changes in the slope of the yield curve or the
relationship between asset yields and liability
cost of funds
•  Changes in the volume of assets and liabilities
•  Change in the composition of assets and
liabilities

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Esercizio 4
Expected balance sheet for hypothetical bank
Expected Balance Sheet for Hypothetical Bank
Assets Yield Liabilities Cost
Rate sensitive 500 8.0% 600 4.0%
Fixed rate 350 11.0% 220 6.0%
Non earning 150 100
920
Equity
80
Total 1000 1000

NII = (0.08 x 500 + 0.11 x 350) - (0.04 x 600 + 0.06 x 220)


NII = 78.5 - 37.2 = 41.3
NIM = 41.3 / 850 = 4.86%
GAP = 500 - 600 = -100
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Esercizio 4
Factors affecting net interest income
•  1% increase in the level of all short-term rates
•  1% decrease in spread between assets yields and
interest cost
–  RSA increase to 8.5%
–  RSL increase to 5.5%
•  Proportionate doubling in size.
•  Increase in RSA’s and decrease in RSL’s
–  RSA = 540, fixed rate = 310
–  RSL = 560, fixed rate = 260.

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