第8章利率风险1-1

IIIIIIII234512126////71=·R-·R=R-R238910LIBORLIBOR11123+1%2+0.5%16%355%216%35.5%21%27%38%227%38%2-0.5%131415++n1617————————18RSA)RSA)RSL1920Ratesensitiveassetsandliabilities…thoseassetsandliabilitiesmanagementogexpectstoberepricedwithinafixedtimeinterval.Theyinclude:maturinginstrumentsmaturinginstruments,floatingandvariablerateinstruments,andanyfullorpartialprincipalpaymentsanyfullorpartialprincipalpayments.1.1.2.33.4.5.6.FundingGAPAFundingGAPisdefinedasthedifferencebetweenabank'sratesensitiveassetsandratesensitivelibilitiliabilities.ItisabalancesheetfiguremeasuredindollarsforU.S.banksoeraspecificperiodoftimebanksoveraspecificperiodoftime.CalculateGAPforeachtimebucketFundingGAPFundingGAPt=$ValueRSAt-$ValueorRSLtwheret=timebucket;eg0-3monthswheret=timebucket;e.g.,0-3monthsGAPRSARSLRSARSLSomeALMprogramsfocusontheGAPorGAPratiowhenevaluatinginterestraterisk:gGAPRatio=RSAs/RSLsWhentheGAPispositive,theGAPratioisgreaterthanone.AnegativeGAP,inturn,isconsistentwithaGAPratiolessthanone.25())∆NIIi=iGAP=iGAPi=i∆Ri∆Ri=i()()∆NIIi=(GAPi)∆Ri=(RSAi–RSLi)∆Ri1∆NIIi=(–$10).01=–$100,000(CGAP)RSA1.$502.$30rollover3.$354.$40RSL1.$402.$203.$60$$20$20explicitinterestratecoredepositscoredepositsCGAPCGAP=–=RSA–RSL=$155–$140=$15=$155$140=$15gapratioratio$CGAP15%..$$ACGAP655627015===$(1)(2)5.6%1∆NIICGAP∆R($15)01$150000∆NII=CGAP∆R=($15).01=$150,0002236CGAPGAP=∑0ttnttiinCGAPGAP→+→+≤=∑NNIGAPR∆=∆iNNIRSARRSLR∆∆∆ttnttnNNIGAPR→+→+∆=∆NNICGAPR∆∆ttnttnttnNNIRSARRSLR→+→+→+∆=∆−∆iittnttnNNICGAPR→+→+∆=∆i37ratesensitivityreportRSRRSRRSR030319091180181141,768,00053,790,0006,080,0006,898,0002,752,00072,248,000131,880,00034,123,00032,396,00025,780,00022,217,00017,364,0009,888,00019,667,000(26,316,000)(18,882,000)(19,465,000)54,884,00000)9,888,00019,667,000(6,649,000)(25,531,0009,888,000)(44,996,000)1233412334471.1.482.GAPtÆt+nnGAPtÆt+nnn=1493.GAPtÆt+n,n504.51