对外经济贸易大学：《银行管理学 Bank Management》课程教学资源（授课教案课件）Chapter 04 Managing Interest Rate Risk：Gap and Earnings Sensitivity Sensitivity

Factors affecting NII. Changes in the level of i-rates. ▣△NII=(GAP)*(△ieXp) 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 猫封纤行贸易大孝

Factors affecting NII. Factors affecting NII. † Changes in the level of i-rates. † ∆NII = (GAP) * ( ∆iexp.) „ Note: this assumes a p arallel 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

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 猫的资5+号

Expected balance sheet for Expected balance sheet for hypothetical bank hypothetical bank E x p e c t e d Bala n c e S h e et fo r Hy p oth e tic al Ba n k Assets Yi eld Lia bilitie s Co st R a t e se n sitiv e 500 8.0% 600 4.0 % Fix e d r a t e 350 11.0% 220 6.0 % N o n e a r nin g 150 100 920 Equi ty 80 T o t al 1000 1000

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 to8.5% 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. 的资5土号

Factors affecting net Factors affecting net interest income 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

1%increase in short- term rates Fixed rate 350 11.0% 220 6.0% Non earning 150 100 920 Equity 80 Total 1000 1000 麓卧的资+孝

1% increase in short 1% increase in short - term rates term rates Fix e d r a t e 350 11.0% 220 6.0 % N o n e a r nin g 150 100 920 Equi ty 80 T o t al 1000 1000

Changes in NII ANIIexp =(GAP)*(A iexp) The larger is the GAP,the greater is the dollar change in NII. 目 *This applies only in the case of a parallel shift in the yield curve,which is rare. If rates do not change by the same amount,then the GAP may change by more or less. 爸封强的黄香+孝

Changes in NII Changes in NII † ∆NIIexp = (GAP) * ( ∆ iexp ) † The larger is the GAP, the greater is the dollar change in NII. † *This applies only in the case of a parallel shift in the yield curve, which is rare. „ If rates do not change by the same amount, then the GAP may change by more or less