Maturity Evaluation 

Use

Shows 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 transactions from high interest rate phases expire and are to be replaced by transactions with lower interest rates. The maturity evaluation is especially important if, on account of this “replacement effect”, an imbalance occurs between the asset and liability sides, meaning there are greater maturity gaps.

 

Features

In the maturity evaluation, capital maturities and maturity gaps are shown for each defined maturity band. The capital outflows are shown with the product interest rates from the contract or the static interest rates, plus the respective opportunity interest rates.

The system takes into account only those payments that lead to a change in the nominal capital of a transaction, such as repayments and disbursements. Interest, charges, and similar payments are not included.

The system determines the following key figures:

·       Maturity Volumes

For each maturity band date in the maturity band selected, the system calculates the volumes that mature both for the asset side and for the liability side.

·       Calculation of Interest on Matured Amounts

Maturity interest rates are assigned to the maturity volumes that were calculated. These are the product interest rates and opportunity interest rates. The static interest rate can be displayed instead of the product interest rate. These interest rates are volume-weighted average rates.

·       Maturity Gap

As per the maturity band structure defined, maturity gaps are calculated as the difference between the matured assets and matured liabilities for each maturity band date.

 

You can also choose to display only fixed-rate items or variable items. In gap analysis reporting, set the Commitment indicator to Interest Commitment or Capital Commitment.

 

Note that setting the Commitment indicator also affects how the maturity evaluation is displayed.