BHC Maturity Gap¶

Definition¶

Maturity Gap¶

Earning assets that are repriceable or mature within one year BHCK3197 minus interest-bearing deposits that mature or reprice within one year BHCK3296 minus long-term debt that reprices or matures within one year BHCK3298 + BHCK3409 minus variable rate preferred stock BHCK3408 minus other borrowed money with a maturity of one year or less BHCK2332 minus commercial paper BHCK2309 minus federal funds and repo liabilities BHDMB993 + BHCKB995, normalized by total assets BHCK2170, where all variables are from the Bank Holding Company data by the Federal Reserve Bank of Chicago.¹

Narrow Maturity Gap¶

Narrow maturity gap is defined similarly to Maturity Gap, except that it does not subtract interest-bearing deposits that mature or reprice within one year BHCK3296.

Reference¶

Rampini, Viswanathan and Vuillemey (2020 JF).