Traditional static GAP analysis 1 Management develops an interest rate forecast 2. Management selects a series of "time buckets"(intervals) for determining when assets and liabilities are rate= sensitive 3. Group assets and liabilities into time "buckets"according to when they mature or re-price The effects of any off-balance sheet positions(swaps, futures,etc.are added to the balance sheet position Calculate GAP for each time bucket Funding GAP =Value RSA:-$Value or RSLt where t time bucket;e.g.,0-3 months 4. Management forecasts NII given the interest rate environment 猫制卧价贸易大孝Traditional static GAP Traditional static GAP analysis analysis 1. Management develops an interest rate forecast 2. Management selects a series of “time buckets ” (intervals) for determining when assets and liabilities are rate￾sensitive 3. Group assets and liabilities into time "buckets" according to when they mature or re-price „ The effects of any off-balance sheet positions (swaps, futures, etc.) are added to the balance sheet position „ Calculate GAP for each time bucket „ Funding GAP t = $ Value RSA t - $ Value or RSL t † where t = time bucket; e.g., 0-3 months 4. Management forecasts NII given the interest rate environment