Repricing Model – Measures DNII

Repricing Model – Measures DNII - Repricing...

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Repricing Model – Measures NII 1 NIIi Change in net interest income in the i th bucket GAPi Dollar gap between RSA and RSL in maturity bucket i ri Change in level of rates impacting assets/liabilities in i th bucket NIIi = (RSAi - RSLi)( ri) = (GAPi)( ri) Gap in overnight bucket is -$10 million. Say, overnight rates increase by 1%:
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Repricing Model - CGAP 2 The FI can also estimate cumulative gaps (CGAPs) over various buckets. e.g.: the one-year repricing gap estimate is: CGAP = (-$10) + (-$10) + (-$15) + $20 = -$15 million Consider the cumulative one-year gap with a 1% increase in rates:
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3 Consider the following FI balance sheet. Which assets and liabilities will or can have an interest rate change within the next year? Can be caused by an asset or liability maturity or a because it is a variable rate instrument. Millions 1. ST Consumer Loans (1 yr mat) $50 1. Equity Capital (fixed) $20 2. LT Consumer Loans (2 yr mat) $25 2. Demand Deposits
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Repricing Model – Measures DNII - Repricing...

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