Outflow Evaluation

Use

The outflow evaluation is particularly useful when you are simulating the structure of your balance sheet and you want to view the changes in the net interest income that result from the replacement of old fixed-rate transactions by new fixed-rate transactions. In a low interest rate phase, for example, this could illustrate to what extent pressure on the interest spread can be expected if asset side transactions from high interest rate phases expire and are to be replaced by transactions with lower interest rates. This is especially important if, on account of this "replacement effect," an imbalance occurs between the asset and liability sides, meaning there are greater outflow gaps.

Features

In the outflow evaluation, capital outflows and outflow gaps are shown for each defined maturity band date . Capital outflows are shown with product interest rates contracted in the past and/or static interest rates, as well as with the respective opportunity interest rates.

In the outflow evaluation, only those flows are taken into account that lead to a change in the nominal capital of a transaction (repayments, disbursements), which means that outflow volumes result from the position changes for each maturity band date. Interest payments, fees and so on are not included.

You use the Commitment Indicator to control whether only the interest commitment of the transactions (commitment indicator Interest Commitment ) or the capital commitment of the transactions (commitment indicator Capital Commitment ) is to be taken into account.

You can find the Commitment Indicator in gap analysis by choosing Start of the navigation path Settings Next navigation step Data Relevant For Display. End of the navigation path

Note Note

Note that setting the Commitment Indicator affects not just the outflow evaluation columns but also the position evaluation columns .

End of the note.

Outflow volumes

Outflow volumes are calculated for both the asset and liability sides for each maturity band date determined by the maturity band you selected.

Outflow interest calculation

The system assigns outflow interest rates to the calculated outflow volumes. These interest rates are product and opportunity interest rates. The static interest rate can be displayed instead of the product interest rate. The interest rates displayed are volume-weighted average interest rates.

Outflow gap

In accordance with the defined maturity band structure, outflow gaps are calculated as the difference between the asset side and liability side outflows per maturity band date.

Examples

For an example of the gap analysis/ALM simulation evaluations, choose the following links: