Does the interest rate “gap” or “sensitivity” table routinely prepared by some banks meet the requirement in the new rule for tabular information?
Answer Yes, with some exceptions. Necessary revisions commonly would include: 1) conforming the maturity categories to those specified in the release; 2) grouping cash flows by maturity dates rather than repricing dates; 3) providing the level of detail required by the release; 4) providing average interest rates on the instruments; 5) providing fair values.
