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Quantitative Finance · Glossaire

Qu'est-ce que « Non-maturity deposit, deposit beta » ?

Aussi appelé : non-maturity deposit · deposit beta

Definition 24.9 Rates, Credit, XVA and Risk · Chapitre 24 — Liquidity and Funding Risk; Bank Treasury

A non-maturity deposit can be withdrawn at any time and pays a rate the bank sets; a behavioural model splits it into a core part, expected to stay and slotted over several years, and a volatile part. Its deposit beta is the share of a change in market rates passed on to the deposit rate.

One-year net interest income sensitivity of the stylised bank to a parallel rise in rates, for two deposit betas. The sign of the bank’s earnings exposure depends on how depositors behave. Data: the chapter’s tutorial.
Figure 24.3. One-year net interest income sensitivity of the stylised bank to a parallel rise in rates, for two deposit betas. The sign of the bank’s earnings exposure depends on how depositors behave. Data: the chapter’s tutorial.

Exemples

Example 24.10 (Two betas)

The stylised bank earns NII of 4.27 a year at a 1% rate. With a deposit beta of 0.35, a 200 basis point rise adds 0.49 a year; with a beta of 0.80, the same rise costs 1.07 (Figure 24.3). The fixed-rate securities earn the same in both cases; the difference is what the depositors take.

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