Enter the interest rate sensitive assets value and the interest rate sensitive liabilities value into the calculator to determine the Maturity Gap.

Maturity Gap Formula

The following equation is used to calculate the Maturity Gap.

MG = IRSA - IRSL
  • Where MG is the maturity gap ($)
  • IRSA is the value of interest rate sensitive assets ($)
  • IRSL is the value of interest rate sensitive liabilities ($)

To calculate a maturity gap, subtract the value of the interest rate sensitive assets from liabilities.

What is a Maturity Gap?

Definition:

A maturity gap is defined as the total difference between the values of interest rate sensitive assets and liabilities.

How to Calculate Maturity Gap?

Example Problem:

The following example outlines the steps and information needed to calculate Maturity Gap.

First, determine the interest rate sensitive assets value. In this case, the value of these are $10,000,000.00.

Next, determine the interest rate sensitive liabilities value. In this example, these are valued at $13,000,000.00

Finally, calculate the maturity gap using the formula above:

MG = IRSA – IRSL

MG = 10,000,000 – 13,000,000

MG = – $3,000,000.00