Gap and Duration Analysis

If i ? 5%

Gap Analysis

GAP = RSA - RSL = $55 m - $43 m = $12 million

?Income = GAP x ?i = $12 m x 5% = $0.6 million

Duration Gap Analysis

DURgap = DURa - [L/A x DURl]

= 1.16 - [90/100 x 2.77] = -1.33 years

%?NW = - DURgap X ?i /(1+i)

= -(-1.33) x .05/(1+.10)

= .061 = 6.1%

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