Bank ALM: Interest Rate Risk, Gap Analysis & Liquidity Ratios

What you'll build

What you will be able to do

Each lab ends with a concrete result that you build yourself and the checker confirms, cell by cell.

• Calculate Quillmoor Bank's net interest income and net interest margin for two years and split the change in interest income into a volume effect and a rate effect.
• Build Quillmoor Bank's repricing gap in six time buckets, the cumulative gap and the gap ratio, and chart both gaps in one combo chart.
• Estimate how Quillmoor Bank's net interest income over the next 12 months changes if all rates move up or down by 200 basis points, with realistic deposit pass-through.
• Calculate the market-value-weighted duration of Quillmoor Bank's assets and liabilities, the leverage-adjusted duration gap and the approximate loss of equity value in a +200 bp shock.
• Discount Quillmoor Bank's asset and liability cash flows at the base curve and at shocked curves, measure the change in the economic value of equity and compare the worst case with Tier 1 capital.
• Value Quillmoor Bank's high-quality liquid assets after haircuts, apply run-off rates to its funding, cap the inflows and calculate the liquidity coverage ratio.
• Weight Quillmoor Bank's funding with available-stable-funding factors and its assets with required-stable-funding factors, calculate the NSFR and how much stable funding is missing for the internal target.
• Look up matched-maturity FTP rates for Quillmoor Bank's products, calculate each product's FTP margin and contribution and chart which products earn the bank's NII.