To analyse the impact of a change of interest rate on the net interest margin, we need two pieces of information: the gap and the relevant change of interest rate.
The gap indicates whether there is a net asset position to reprice, or whether there is a net debt position to reprice.
Gap = (repriced assets) – (repriced liabilities) over a specific period of time
|A positive gap indicates an excess of short-term assets to reprice.|
|A negative gap indicates an excess of short-term liabilities to reprice.|
To measure ...