Interest gap

From ACT Wiki
Revision as of 08:16, 12 August 2016 by imported>Doug Williamson (Add links.)
Jump to navigationJump to search

A mismatch in the timing at which interest-rate assets and liabilities are repriced.

A positive gap (assets repricing more quickly than liabilities) means an exposure to falling interest rates and vice versa.


Banks and other financial institutions commonly have a 'structural' interest gap, resulting from the nature of their business and the structure of their balance sheets.


This structural interest gap is usually negative.

The negative interest gap results from shorter-term liabilities funding longer term assets.


See also