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