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| | Duration gap - Wikipedia, the free encyclopedia |
 | | The duration gap is the difference between the duration of assets and liabilities. | | | A positive duration gap is when the duration of assets exceeds the duration of liabilities (which means greater exposure to rising interest rates). | | | A negative duration gap is when the duration of assets is less than the duration of liabilities (which means greater exposure to declining interest rates). |
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http://en.wikipedia.org/wiki/Duration_gap
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| | [No title] |
| | Duration gap has become more prominent recently, primarily due to pressure from the bank regulatory agencies to more accurately measure the risk to the insurance fund in the event of the failure of the bank. | | | The second technique, the duration gap, focuses on the effects of interests rate changes on the market values of assets and liabilities, and hence on the theoretical duration value of equity. | | | If the duration of the bond were 6 years, the percentage change in price would be double that just calculated —(2) (2.83) or +5.66 for the decline in rates and — 5.66 for the decline. |
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http://www.fsa.ulaval.ca/cours/gsf-18067/IMCh_05.doc
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| | DELPHI DURATION article by Warren Edwardes, CEO, Delphi Risk Management |
| | The interest rate gap is the principal amount by which a bank's assets that reprice in a particular time bucket exceed its liabilities that reprice in that same period. | | | Duration has its roots in actuarial science and is commonly used in fixed income asset management. | | | As with gap analysis and simulation, assets and liabilities are inserted into time buckets according to their next interest rate repricing date. |
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http://www.dc3.co.uk/duration.htm
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| | MACRO HEDGING WITH DURATION |
| | They develop a general expression for duration of non-default-free bonds and prove that, given the probability of default and other inputs included in pricing the bonds, their measure of duration is an immunizing measure in the presence of default risk. | | | Redington (1952) derives a second-order condition for immunizing equity in terms of the "dispersion" of values of assets and liabilities around their durations assuming that initial equity is zero. | | | In calculating duration gaps in all these examples, we assumed default-free assets and liabilities. |
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http://www.yorku.ca/groberts/WorkingPaper1.htm
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| | [No title] |
| | Another Application of Duration: The bank manager is ULTIMATELY concerned with interest rate changes and their impact on the market value of the bank's equity. | | | (Solution: Use a "standardized gap" which accounts for the differences in the relative rate changes of certain assets & liabilities.) Focus on NII is the most important measure of shareholder wealth. | | | How to Calculate Duration: The Spreadsheet Method The following example is used to calculate the duration of a 5-year $1000 bond, with a 6% coupon rate (with interest payments made annually (Not semiannually - as is the usual case). |
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http://www.sba.muohio.edu/brunarkr/lecture2_2003.doc
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| | WSJ.com - Fannie Narrows Duration Gap, As Rate Volatility Risk Declines |
| | Duration measures how sensitive bonds are to moves in interest rates. | | | Fannie Mae, a publicly traded government-sponsored enterprise, said its duration gap -- a measure of how well cash flows from assets and liabilities match up -- narrowed during October to negative six months from negative 10 months for September and negative 14 months for August. | | | "The tools Fannie Mae has at its disposal are numerous and effective, and the downtrade in Treasurys was very helpful to the gap," said Andy Brenner, head of global fixed income at Investec Ernst and Co. in New York. |
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http://www.sba.uconn.edu/users/jgolec/invwsj/8gap.htm
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| | Fannie Mae Shows Off a Shrinking Duration Gap |
| | Because of its implied government backing, Fannie Mae is able to borrow at advantageous rates, and generates the bulk of its profit from the spread between the yield on its $747 billion mortgage portfolio and the cost of its debt, or agency securities. | | | Janis Smith, a spokeswoman for the firm, said Fannie Mae reduced its duration gap through a combination of hedging activity, loan purchases, issuance of short-term securities and a buyback of longer-term debt. | | | Weak economic data are usually beneficial to Treasuries, because faster growth is associated with higher inflation, which erodes the value of future interest payments. |
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http://www.thestreet.com/pf/markets/aarontaskfree/10045341.html
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| | Duration Gap |
| | Although these disclosures may change, portfolio market value sensitivities are not expected to change by more than 2 percentage points and duration gap is not... | | | The No. 2 US mortgage finance company said its duration gap, a measure of exposure to interest rate risk, averaged zero month in June, unchanged from May.... | | | The No. 2 US mortgage finance company said its duration gap, a measure of exposure to interest rate risk, averaged zero month in July, unchanged from June. |
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http://finance.za-news.com/new/Duration_Gap.html
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| | Fannie Mae duration gap wider, portfolio shrinks |
| | Fannie Mae's duration gap is a monthly gauge of how well the company is matching its investments and mortgage-backed securities it guarantees with the bonds it issues to buy mortgage assets. | | | While of mild concern, it is a far cry from having the duration of assets 25 years longer than the duration of liabilities in an inflatioanry period, as happened to the SandLs in the 70s. | | | The May duration reading, the widest since February, is within the company's target range of plus to minus six months. |
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http://www.freerepublic.com/focus/f-news/927700/posts
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| | [No title] |
| | Duration is the elasticity (from economics) of the asset or liability price with respect to a yield change. | | | Assuming Floating Rate and Fed Funds have.36 duration Asset Duration = [30(0) + 65(4.03) + 125(.36)]/220 = 1.4 c. | | | 17 - Bond Instead of Mortgage ¡ - , ÿþ ó ? & ª ó ¨ Duration Gap Model ¡$ ÿþ ó ¨3 A Shorter Way to Calculate a Coupon Bond's Duration ¡( 4 3 ÿþ ó ª ó ¨, Using Duration to Estimate Bond Price Change ¡( - , ÿþ ó ª ó 8 ¨ Duration Gap ¡ ÿþ ó 9 ! ¨9 Duration and the Effect of Interest Rates on Equity Value ¡ : 9 ÿþ ó : " ª ó ; # ¨ Example: Ch. |
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http://www.sba.uconn.edu/users/jgolec/fi9-interestrisk.ppt
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| | duration gap Definition |
| | The duration of each asset or liability defines an interval that must be assessed. | | | A method of attempting to quantify interest rate risk involving a comparison of the potential changes in value to assets and liabilities that are affected by interest rate fluctuations over all relevant intervals. | | | Give this definition a rating from 1 to 5 (5 being the best)... |
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http://www.investorwords.com/5531/feedback.cgi?5531
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| | REALTOR® Magazine - Daily News |
| | Fannie Mae's duration gap, which measures the difference in flow of cash between assets and liabilities, edged up from zero in March to a positive three months in April. | | | The change means that Fannie Mae's asset inflows surpassed its liability payments during the month. | | | REALTOR® Magazine Online: The real estate professional's business support tool. |
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http://www.realtor.org/rmodaily.nsf/pages/News2004051865
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| | Duration Gap Analysis |
| | What is the relevance of duration gap analysis if assets and liabilities are not tradable in secondary market? | | | For example in India deposit liabilities and loan assets are not readily realisable and secondary market exists only for debt instruments. | | | Derivative market is also yet to fully develop. |
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http://www.contingencyanalysis.com/archive/archive04-4/000003fa.htm
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| | Positive Duration GAP. |
| | Assets have a higher duration so they will decrease more in value than liabilities. | | | Assets have a higher duration so they will increase more in value than liabilities. | | | Whether researching anything from modern business strategy to Roman military tactics, AcademicDB can help. |
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http://www.academicdb.com/positive_duration_gap_7544
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| | If interest rates rise to 11% within the next year and your investment horizon is 4 years from today, what will you yield on your investment? You have discovered that the price of a bond rose from 975 to 995 when the YTM fell from 9.75 to 9.25. | | | The market value of equity will not change as interest rates change in either direction ó G ¨ Problem ¨x Balance Sheet T-bonds 5 yrs to maturity paying 6% semi-annually and selling at par What is duration assets? | | | If yield curve shifted - r / (1 + r) = 0.005 what is impact on equity? |
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http://www.business.uiuc.edu/~pellinge/March6.ppt
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| | BankruptcyNews.org::News articles & research on duration gap |
| | The housing agency said that the gap between the life of its assets and liabilities was at zero months in August. | | | Our duration gap remained within our preferred range in each month of the third quarter, and while our credit loss ratio increased slightly compared with the... | | | The materials contained on this Web site are for informational purposes only and do not constitute legal advice. |
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http://finance.za-news.com/news/duration_gap.html
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| | Forbes.com: Fannie Mae duration gap narrows, portfolio shrinks |
| | Fannie Mae's duration gap is a monthly barometer of how well the company is matching its mortgage investments and mortgage-backed securities it guarantees with the bonds it issues to buy mortgage assets. | | | NEW YORK, July 15 (Reuters) - Fannie Mae (nyse: FNM - news - people), the No. 1 U.S. mortgage finance company, said on Tuesday its duration gap, a key measure of its interest rate risk exposure, narrowed to an average of -1 month in June from -5 months in May. | | | Meanwhile, Fannie Mae said the size of its investment portfolio in home loans and mortgage-backed securities shrank for a second straight month at an annualized rate of 4.5 percent last month, after a 3.4 percent decline in May. |
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http://www.forbes.com/newswire/2003/07/15/rtr1024812.html
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| | duration gap |
| | drawing account » due date » due-on-sale clause » duration gap » earnings credit rate » easy monetary policy » effective annual interest rate | | | The duration gap is the disparity between the duration of an asset portfolio and the duration of its associated liabilities. | | | You are here: Home » Investment Dictionary » Banking Terms » duration gap |
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http://www.investionary.com/glossary/duration-gap.htm
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| | Forbes.com: Freddie Mac duration gap unchanged in October |
| | NEW YORK, Dec 23 (Reuters) - Freddie Mac, the No. 2 source of housing finance in the United States, said on Tuesday its duration gap -- a measure of how the firm manages interest rate risk -- remained unchanged at zero months in November. | | | The No. 2 U.S. housing finance agency also reported that November's average portfolio market value sensitivity was 3.7 percent and November liquidation rate was the lowest in 12 months. | | | Freddie Mac also said it expects fourth-quarter duration growth to remain relatively unchanged and said it sees total participation certificate (PC) growth at 7 percent to 8 percent in Fiscal Year 2003. |
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http://www.forbes.com/markets/commodities/newswire/2003/12/23/rtr1190480.html
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| | Duration Gap |
| | The difference between the duration of an asset portfolio and the duration of its associated liabilities. |
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http://riskinstitute.ch/00011229.htm
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| | [No title] |
| | If interest rates rise (fall), bank NIMs or profit will rise (fall). | | | The reverse happens in the case of a negative dollar gap where RSA$ |
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http://www.swlearning.com/finance/fraser/powerpoint/ch05.ppt
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| | Fannie Mae Oct Duration Gap Shrinks, Growth Slows |
| | NEW YORK, Nov 15 - In a commentary article entitled "Europe's Gas Industry Needs Considerable Further Reshaping," Standard & Poor's Ratings Services assesses the industry's challenges over the medium term, as well as current and future credit issues... | | | During October, the size of the company's investment portfolio also shrank, reflecting lenders' needs f... | | | Fannie Mae Oct Duration Gap Shrinks, Growth Slows |
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http://www.webprowire.com/summaries/309690.html
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| | Time [Internet Encyclopedia of Philosophy] |
| | Chapter 4 contains a clear account of Aristotle's argument for truth-value gaps, and its development in Lukasiewicz's three-valued logic. | | | This section is devoted to explaining and elaborating on what has been said in the previous two paragraphs. | | | Most importantly here, there is no agreement among physicists as to whether the continuum feature of time will be adopted in the future theory of quantum gravity that will be created to take account of both gravitational and quantum phenomena. |
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http://www.iep.utm.edu/t/time.htm
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| | Duration Gap (Positive Vs Negative) |
| | I am finding it hard to rationalize why with a positive duration GAP when interest rates increase MVE decreases and when there is a negative duration GAP there is a positive relationship (meaning interest rates increase so does MVE) |
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http://www2.tltc.ttu.edu/hein/_4323fall99/00000063.htm
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| | [No title] |
| | A gamma-ray burst may have more than one entry or may have no entry. | | | 1503 A Ulysses rate increase 1503 Q Data gaps during burst, (part of the event may be missing). | | | 1571 A Ulysses rate increase 1571 Q Trigger occurs after data gap ends. |
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http://www.batse.msfc.nasa.gov/tools/catalog/src/3b_grossc.comments
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| | Child Passenger Safety Technical Encyclopedia |
| | A calculated value indicating the likelihood of serious head injury, which may or may not involve direct head impact. | | | If there is a gap between the crotch strap and the infant's crotch, a rolled diaper or washcloth may be placed in this gap to help prevent slumping. | | | Resting against a forward seatback is only one way to achieve these benefits. |
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http://www.new.carseat.org/Technical/tech_update.htm
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| | CATHOLIC ENCYCLOPEDIA: Easter |
| | The gap left in the liturgical services after the solemnities of the night had been transferred to the morning of Holy Saturday was filled in France, Germany, and in some other countries by a twofold new ceremony, which, however, was never adopted in Rome. | | | The old baptismal ceremonies were left untouched and have now, apparently, no other reason for preservation than their antiquity. |
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http://www.newadvent.org/cathen/05224d.htm
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| | Fannie Closes Duration Gap to -10 Months: Is Problem Really Taking Care of Itself? |
| | The earlier-than-expected announcement of improvement in the government-sponsored enterprise’s interest rate risk situation sent the company’s stock price soaring, as investors appeared to accept the notion it was | | | In an effort to calm nervous investors and/or legislators, Fannie Mae announced this week that the duration gap on its gigantic mortgage portfolio narrowed to minus 10 months at the end of September. | | | Fannie Closes Duration Gap to -10 Months: Is Problem Really Taking Care of Itself? |
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http://www.imfpubs.com/issues/imfpubs_ima/2002_37/news/302073703-1.phtml
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| | Freddie Mac Says Duration Gap One Month Or Less |
| | Rob Weiss, senior director of finance at Freddie Mac, derived this level from the company's two measures of rate risk: the portfolio market value sensitivity level (PMVS-L) and the portfolio market value sen... | | | Monday, October 14, 2002 - 6:02 pm ET send comments/feedback |
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http://www.webprowire.com/summaries/214279.html
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| | Lifestyles Therapeutics |
| | He realized that it was current flow to a hot spot on the metal anode that caused the short and the subsequent burnout, and reasoned that the way to achieve long life was to eliminate the current by eliminating the metal. | | | A cleansing, purifying process is underway and stored wastes are more easily removed. | | | The crisis will usually bring about past conditions in reverse order to the original problem. |
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http://www.lifestylestherapeutics.com/TSOOzone.html
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| | Fannie Narrows Duration Gap, As Rate Volatility Risk Declines |
| | Fannie Narrows Duration Gap, As Rate Volatility Risk Declines | | | From today's WSJ.com, I found an interesting article by Julie Haviv. | | | The article talks about Fannie Mae keeps narrowing its duration gap in recent months. |
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http://www4.tltc.ttu.edu/group3/_group3/000000c4.htm
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| | Gap and Duration Analysis |
| | GAP = RSA - RSL = $55 m - $43 m = $12 million | | | ?Income = GAP x ?i = $12 m x 5% = $0.6 million |
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http://itech.fgcu.edu/faculty/bhobbs/MEPPT/ch22pc/tsld009.htm
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