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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).


Last update: August 10, 2020

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