Large Bank Examination Workshop February 2026

Simple Liquidity Gap Example

0-3 Months

3-12 Months

>1-Year

Total

Assets

0

0

$ 1,000,000

$ 1,000,000

$ (1,000,000) Liabilities

0

0 $ (1,000,000)

Total Gap

$ (1,000,000)

0

$ 1,000,000

0

25

Knowledge Check Which of the following would be red flags in liquidity risk management: a) A sharp increase of short-term liabilities b) Credit default swap spreads increasing/widening c) Volatility increasing in the US Treasury markets and the VIX d) All of the above

26

© Global Financial Markets Institute Inc.

13