Bank Analysis School - Case Study & Resources

APPENDIX A - DEFINITION AND TYPES OF INTEREST RATE RISK APPENDIX C: Asset Sensitive vs. Liability Sensitive

Liability Sensitive Assets longer‐term/reprice slower than liabilities

Asset Sensitive Assets shorter term/reprice faster than liabilities

Rates

Rates

Rates

Rates

NIM declines Asset yields decrease more than funding costs

NIM declines Funding costs rise more than asset yields

NIM improves Funding costs fall more than asset yields

NIM improves Asset yields increase more than funding costs