Variable | Definition | Data Source |
Yield on funds | Measured by the ratio of interest income to the rate sensitive assets | PROWESS |
Cost of funds | Measured by the ratio of interest expense to the rate sensitive liabilities | PROWESS |
Rate sensitive assets | Measured by the sum of total loans and advances, investments, bank balance with other banks and balance with RBI11 | PROWESS |
Rate sensitive liabilities | Measured by the sum of total deposits, borrowings and interest accrued11 | PROWESS |
GAP | Measured as difference between NPV of assets and liabilities | Based on calculation with respect to maturity bucket exposure |
ΔE | Unexpected impact on equity, measured by the difference between GAP(Δ) (GAP due to worst case scenario) and GAP(0) (GAP due to present expected yield on fund and cost on fund) | Based on calculation |
ΔE/BE | Ratio of unexpected impact on equity to the book value of equity | Based on calculation |
ΔE/MVE | Ratio of unexpected impact on equity to the market value of equity | Based on calculation |
ΔE/TA | Ratio of unexpected impact on equity to the total asset | Based on calculation |