Repricing gap, net interest income sensitivity and funds transfer pricing. Management information — not a forecast and not a regulatory return unless filed through Reporting. Methodology MERC-IF-08-METH.
Non-maturing deposit assumption
Non-maturing retail deposits: 70% core slotted to the 5-year bucket; 30% volatile slotted overnight. This assumption is applied wherever it affects a gap figure and is never silent.
Assets against liabilities by remaining time to reprice. Net per bucket. Currencies are never summed.
| Bucket | Assets | Liabilities | Net gap | Behavioural |
|---|---|---|---|---|
| Overnight | 0.00 GBP | 360000.00 GBP | -360000.00 GBP | NMD 70/30 applied |
| 1 month | 0.00 GBP | 0.00 GBP | 0.00 GBP | Contractual |
| 3 months | 0.00 GBP | 0.00 GBP | 0.00 GBP | Contractual |
| 6 months | 0.00 GBP | 0.00 GBP | 0.00 GBP | Contractual |
| 12 months | 0.00 GBP | 0.00 GBP | 0.00 GBP | Contractual |
| 2 years | 0.00 GBP | 0.00 GBP | 0.00 GBP | Contractual |
| 2–5 years | 1000000.00 GBP | 840000.00 GBP | 160000.00 GBP | NMD 70/30 applied |
| More than 5 years | 0.00 GBP | 0.00 GBP | 0.00 GBP | Contractual |
Parallel yield-curve shocks over a 12-month horizon. A move larger than 50% of baseline NII is flagged as implausible and is not presented as fact.
+200 bp parallel · 12 months
Material, not implausibleBaseline 18000.00 → shocked 10800.00 ( delta -7200.00 GBP)
Non-maturing retail deposits: 70% core slotted to the 5-year bucket; 30% volatile slotted overnight. Parallel yield-curve shock, 12 months horizon. Overnight liability gap 360000.00 GBP. Illustrative 3% asset / 1% liability.
−200 bp parallel · 12 months
Material, not implausibleBaseline 18000.00 → shocked 25200.00 ( delta 7200.00 GBP)
Non-maturing retail deposits: 70% core slotted to the 5-year bucket; 30% volatile slotted overnight. Parallel yield-curve shock, 12 months horizon. Overnight liability gap 360000.00 GBP. Illustrative 3% asset / 1% liability.
Matched-maturity FTP (overnight SONIA + 25 bp, interpolated to 5y + 75 bp). Deposit and lending attributed margins sum to the total. Curve version v1.
| Product | Book | FTP rate | Attributed margin |
|---|---|---|---|
| prd-personal-loan | lending | 0.0055 | 24500.00 GBP |
| prd-instant-savings | deposit | 0.0025 | -9000.00 GBP |
Recalculation is a mutation and requires maker-checker dual control.