Chapter 8

Question 1

Repricing gap (CGAP) + rate sensitivity

Answer 1

Repricing gap (CGAP) = RSA - RSL

Rate sensitivity: time interval where repricing can occur

Question 2

CGAP effect + meaning if positive/negative

Answer 2

Relation between changes in interest rates and changes in net interest income

positive: positive relation -> good if interest rates are expected to rise

Question 3

Delta Net interest income

Answer 3

Delta NII = CGAP * Delta R

Question 4

Spread effect

Answer 4

Effect that a change in spread btw rates on RSAs and RSLs has on NII

Question 5

GAP ratio

Answer 5

= CGAP / TA