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).