ALM

Asset and liability management committee (ALCO)

.
ALCO
.

(Asset and Liability Management, ALM) .

ALCO


.

( Reinvestment rate risk)


-( Funding GAP), NII

(Price Risk)

(duration)

- (Duration GAP), (market value of equity)

(Maturity Gap)
(A1)
(L1)
NII R1a A1 R2a A2 R1l L1 R2l L2

NII A1R1a L1R1l

R1a R1l R

NII ( A1 L1 )R ( RSA RSL)R GAP R


(Positive Gap)
NII
NII
reinvestment
risk
(Negative Gap)
NII
Refinancing
RiskNII


(Defensive GAP
Management)

NII
(Aggressive GAP
Management)





(overaggregation)

(run off)
(
embedded options)

 1-7 8-30 31-90 91-180 181-365 1 5

0.7 3.6 1.2 0.3 3.7 9.5

1.2 1.8 3.0
0.7 1.0 2.2 7.6 11.5
5.0 5.0
1.0 13.8 2.9 4.7 4.6 15.5 42.5
0.3 0.5 1.6 1.3 1.9 8.2 13.8
9.0 9.0
5.7 5.7
6.3 15.0 10.0 10.0 9.0 35.0 14.7 100.0

5.0 12.3 17.3

(NOWs) 2.2 2.2
0.9 2.0 5.1 6.9 1.8 2.9 19.6
1.9 4.0 12.9 7.9 1.2 27.9
-
9.6 1.9 11.5
13.5 13.5
1.0 1.0
7.0 7.0
5.0 11.0 30.3 24.4 3.0 4.8 21.5 100.0
(GAP)
1.3 4 -20.3 -14.4 6.0 30.2
1.3 5.3 -15.0 -29.4 -23.4 6.8
 6.1
1200
11CD2%
61801000
CD200
113
90CD
91180121%

181270121%

ch06.1 shortfall of gap analysis.xls
 (duration)
It
n
(1 r )t t F (1 r ) N N
t 1
D
PB
I1 I2 IN F
1 2 N N
1 r (1 r ) 2 (1 r ) N (1 r ) N

PB

D =
r = (yield to maturity)
It = t
N =
PB =
6.2
$1000
10%

6.2


(1) (2) (3) (4)
(1)(3)
(10%)
1 $100 $90.91 $90.91

2 100 82.64 165.28

3 100 75.13 225.39

4 100 68.30 273.20

5 1100 683. 3415.0

01 5
$999.99 $4169.83



dP

1
[ D P] dP 1 r
D
dr 1 r dr P

dP dr
D
P 1 r

dP D
D dr D
P M M 1 r








r/(1+r)r


Convexity
()
()
 (Duration Gap)
dA dr dL dr
D D
A A 1 r L L 1 r

dE dA dL

dE D A D L
A L
dr
1 r

dE D D k A
A L
dr
1 r
dr
DGAP A
1 r

(portfolio immunization)
DGAP0

DGAP0

DGAP0

(Positive Duration Gap)

(Net Worth)
(Positive Duration Gap)

(Net Worth)
(Negative Duration Gap)

(Net Worth)
(Negative Duration Gap)

(Net Worth)

dA A dE
d A E E
dr dr

dr E2
E D A A A DE E 1

E2 1 r
EA 1
D A D E
E 1 r
2

D A D A L DL
E E E

D A D E D A D L
L
E
ALM


(ALM)


Trade-Off




(A)



(Reprice)

NIINPV
6.3 NII
6.1
CD3
1%NIINII
1%CD3.03.54.0
4.24.55.05.56.06.57.07.58.08.5
9.0NII
121%2%3%
1%2%3%
CD3.03.54.04.24.55.05.5
6.06.57.07.58.08.59.0
NII
1-1%
CD
Q1 Q2 Q3 Q4
0.07 0.07 0.07 0.07 0.07
21.00 21.00 21.00 21.00 84.00
CD 0.05 0.05 0.05 0.05 0.05
12.50 12.50 12.50 12.50 50.00
8.50 8.50 8.50 8.50 34.00
CD 12 1% , CD 3
Q1 Q2 Q3 Q4
7.00% 7.00% 8.00% 8.00% 7.50%
21.00 21.00 24.00 24.00 90.00
CD 5.00% 6.00% 6.00% 6.00% 5.75%
12.50 15.00 15.00 15.00 57.50
8.50 6.00 9.00 9.00 32.50
2-NII1
CD NII NII-NII0
3.0 32.50 -1.50
3.0 32.50 -1.50
3.5 34.58 0.58
4.0 34.17 0.17
4.2 34.00 0.00
4.5 33.75 -0.25
5.0 33.33 -0.67
6.0 35.00 1.00
7.0 36.67 2.67
7.2 36.50 2.50
8.0 35.83 1.83
9.0 37.50 3.50
3-NII2

32.50 -0.03 -0.02 -0.01 0 0.01 0.02 0.03
CD 3.0 38.50 37.00 35.50 34.00 32.50 31.00 29.50
3.5 32.25 32.83 33.42 34.00 34.58 35.17 35.75

4.0 33.50 33.67 33.83 34.00 34.17 34.33 34.50

4.2 34.00 34.00 34.00 34.00 34.00 34.00 34.00
4.5 34.75 34.50 34.25 34.00 33.75 33.50 33.25
5.0 36.00 35.33 34.67 34.00 33.33 32.67 32.00
5.5 37.25 36.17 35.08 34.00 32.92 31.83 30.75
6.0 31.00 32.00 33.00 34.00 35.00 36.00 37.00
6.5 24.75 27.83 30.92 34.00 37.08 40.17 43.25
7.0 26.00 28.67 31.33 34.00 36.67 39.33 42.00
7.2 26.50 29.00 31.50 34.00 36.50 39.00 41.50
7.5 27.25 29.50 31.75 34.00 36.25 38.50 40.75
8.0 28.50 30.33 32.17 34.00 35.83 37.67 39.50
8.5 29.75 31.17 32.58 34.00 35.42 36.83 38.25
9.0 23.50 27.00 30.50 34.00 37.50 41.00 44.50
6.4
6.1
CD3
121%

6
3CD

DGAP

 7%8%

1200 1 72%
PV 1194.23
1 2 8%

3CD5%6%

1000 1 5%

PV 4
997.54
1 64%
1%

IRE
( )
1200 6 7% 8% 1200.00 0.500 -0.48% -5.7971
CD 1000 3 5% 6% 1000.00 0.250 -0.24% -2.43902
200 200.00 1.750 -1.68% -3.35808

IRE
( )
1200 6 7% 8% 1194.23 0.500 -0.48% -5.76923
CD 1000 3 5% 6% 997.54 0.250 -0.24% -2.46305
200 196.69 1.768 -1.70% -3.39229
-3.30618

DGAP1%
3.36=1.68200
1%
196.693.306=200-
196.69DGAP
Convexity

E D A A - D L L r
-1.68%
E E 1 r
Safety Zone




6.3NII
CD4.2
CD
Q1 Q2 Q3 Q4
7.00% 7.00% 7.00% 7.00% 7.00%
21 21 21 21 84.00
CD 5.00% 5.00% 5.00% 5.00% 5.00%
12.5 12.5 12.5 12.5 50
8.5 8.5 8.5 8.5 34

CD 12 1% 4.8
Q1 Q2 Q3 Q4
7.00% 7.00% 8.00% 8.00% 7.50%
21 21 24 24 90.00
CD 5.00% 5.40% 6.00% 6.00% 5.60%
12.5 13.5 15 15 56
8.5 7.5 9 9 34
CD4.5

1200 6 7% 8% 1200 0.500 -0.47% -5.66

CD 1000 4.5 5% 6% 1000 0.375 -0.35% -3.54

200 200 1.125 -1.06% -2.12

CD7.2

1200 6 7% 8% 1200 0.500 -0.47% -5.66

CD 1000 7.2 5% 6% 1000 0.600 -0.57% -5.66

200 200 0.000 0.00% 0.00

1
CD
4.5 -2.12
3.0 -3.30
3.5 -2.91
4.0 -2.52
4.5 -2.12
4.8 -1.89
5.0 -1.73
6.0 -0.94
7.0 -0.16
7.2 0.00
8.0 0.63
9.0 1.42
2

8% 7% 6% 5% 4% 3% 2%

C 3.0 -3.24 -3.27 -3.30 -3.33 -3.37 -3.40 -3.43

D
3.5 -2.85 -2.88 -2.91 -2.94 -2.96 -2.99 -3.02

4.0 -2.47 -2.49 -2.52 -2.54 -2.56 -2.59 -2.61
4.5 -2.08 -2.10 -2.12 -2.14 -2.16 -2.18 -2.21
5.0 -1.70 -1.71 -1.73 -1.75 -1.76 -1.78 -1.80
5.5 -1.31 -1.32 -1.34 -1.35 -1.36 -1.38 -1.39
6.0 -0.93 -0.93 -0.94 -0.95 -0.96 -0.97 -0.98
6.5 -0.54 -0.55 -0.55 -0.56 -0.56 -0.57 -0.57
7.0 -0.15 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16
7.2 0.00 0.00 0.00 0.00 0.00 0.00 0.00
7.5 0.23 0.23 0.24 0.24 0.24 0.24 0.25
8.0 0.62 0.62 0.63 0.63 0.64 0.65 0.65
8.5 1.00 1.01 1.02 1.03 1.04 1.05 1.06
9.0 1.39 1.40 1.42 1.43 1.44 1.46 1.47
1%CD

CD NII
1 3.0 -1.50 -3.30
2 3.5 -1.08 -2.91
3 4.0 -0.67 -2.52
4 4.5 -0.25 -2.12
5 4.8 0.00 -1.89
6 5.0 0.17 -1.73
7 6.0 1.00 -0.94
8 7.0 1.83 -0.16
9 7.2 2.00 0.00
10 8.0 2.67 0.63
38
5678
9
54.8CD
9
$200
7.2CD$1000
4.8CD
5
8
38

6 month loan 1200 4.2 month CD 1000

equity 200

equity 200 7.2 month 1000

4.2 month 1000 Equity 200

6 month loan 1200 7.2 month 1000

equity 200