{"id":100004330,"date":"2014-06-18T12:08:14","date_gmt":"2014-06-18T10:08:14","guid":{"rendered":"https:\/\/www.reacfin.com\/?p=100004330"},"modified":"2019-03-13T12:25:56","modified_gmt":"2019-03-13T11:25:56","slug":"replicating-portfolio-approach-for-non-maturing-liabilities","status":"publish","type":"post","link":"https:\/\/www.reacfin.com\/index.php\/2014\/06\/18\/replicating-portfolio-approach-for-non-maturing-liabilities\/","title":{"rendered":"Replicating Portfolio Approach"},"content":{"rendered":"<p>{&#8220;main-title&#8221;:{&#8220;component&#8221;:&#8221;hc_title&#8221;,&#8221;id&#8221;:&#8221;main-title&#8221;,&#8221;subtitle&#8221;:&#8221;&#8221;,&#8221;title_content&#8221;:{&#8220;component&#8221;:&#8221;hc_title_image&#8221;,&#8221;id&#8221;:&#8221;title-image&#8221;,&#8221;image&#8221;:&#8221;&#8221;,&#8221;full_screen&#8221;:false,&#8221;full_screen_height&#8221;:&#8221;&#8221;,&#8221;parallax&#8221;:false,&#8221;bleed&#8221;:&#8221;&#8221;,&#8221;ken_burn&#8221;:&#8221;&#8221;,&#8221;overlay&#8221;:&#8221;&#8221;,&#8221;breadcrumbs&#8221;:false,&#8221;white&#8221;:true},&#8221;title&#8221;:&#8221;Replicating Portfolio Approach&#8221;},&#8221;section_5ZtkF&#8221;:{&#8220;component&#8221;:&#8221;hc_section&#8221;,&#8221;id&#8221;:&#8221;section_5ZtkF&#8221;,&#8221;section_width&#8221;:&#8221;&#8221;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;vertical_row&#8221;:&#8221;&#8221;,&#8221;box_middle&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;section_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_vtfQF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[]},{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_5ZtkF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_icon_list_simple&#8221;,&#8221;id&#8221;:&#8221;K48k7&#8243;,&#8221;css_classes&#8221;:&#8221;text-xs &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;rows&#8221;:[{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;rm1mC&#8221;,&#8221;icon&#8221;:&#8221;fa fa-info-circle&#8221;,&#8221;text&#8221;:&#8221;<b>Title :<\/b> Replicating Portfolio Approach to Determine the Duration of Non-Maturing Liabilities: Case Study&#8221;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;deD1B&#8221;,&#8221;icon&#8221;:&#8221;fa fa-pencil&#8221;,&#8221;text&#8221;:&#8221;<b>Authors :<\/b> Wim Konings and Fran\u00e7ois Ducuroir&#8221;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;tZRoV&#8221;,&#8221;icon&#8221;:&#8221;fa fa-calendar&#8221;,&#8221;text&#8221;:&#8221;<b>Date :<\/b> 18 June 2014&#8243;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;Vx5yA&#8221;,&#8221;icon&#8221;:&#8221;fa fa-bookmark&#8221;,&#8221;text&#8221;:&#8221;<b>Reference :<\/b> Reacfin White Paper 2014&#8243;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;5ZtkF&#8221;,&#8221;icon&#8221;:&#8221;fa fa-tags&#8221;,&#8221;text&#8221;:&#8221;<b>Key words :<\/b> Retail Banking &#8211; Non-maturing liabilities &#8211; Portfolio&#8221;}],&#8221;alignment&#8221;:&#8221;text-left&#8221;,&#8221;icon_size&#8221;:&#8221;&#8221;,&#8221;list_style&#8221;:&#8221;&#8221;}]},{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_63zV6&#8243;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_space&#8221;,&#8221;id&#8221;:&#8221;fN33u&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;size&#8221;:&#8221;xs&#8221;,&#8221;height&#8221;:&#8221;&#8221;},{&#8220;component&#8221;:&#8221;hc_quote&#8221;,&#8221;id&#8221;:&#8221;42hy8&#8243;,&#8221;css_classes&#8221;:&#8221;text-s &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;Non-maturing liabilities (such as saving accounts and current accounts) are a major source of funding for many retail banks and a much envied source of liquidity for their Commercial- or Investment-banking peers. Yet characterizing, quantifying and ultimately hedging the interest rate risks of such instruments has, for long, proven quite challenging.\\nIn this paper we illustrate how a replicating portfolio approach can offer a pragmatic solution to address this point. In addition a practical case study is presented based on the average base rate on Belgian regulated saving accounts. The results suggest that historically some banks making over-simplistic assumptions may have ended-up not only making materially less margins but also have increased the volatility of such margin and hence their related interest-rate risks.&#8221;,&#8221;style&#8221;:&#8221;&#8221;,&#8221;author&#8221;:&#8221;Wim Konings and Fran\u00e7ois Ducuroir&#8221;},{&#8220;component&#8221;:&#8221;hc_button&#8221;,&#8221;id&#8221;:&#8221;Md6xf&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;icon&#8221;:&#8221;fa fa-file-pdf-o&#8221;,&#8221;style&#8221;:&#8221;square&#8221;,&#8221;size&#8221;:&#8221;btn-sm&#8221;,&#8221;position&#8221;:&#8221;left&#8221;,&#8221;animation&#8221;:false,&#8221;text&#8221;:&#8221;Download&#8221;,&#8221;link_type&#8221;:&#8221;classic&#8221;,&#8221;lightbox_animation&#8221;:&#8221;&#8221;,&#8221;caption&#8221;:&#8221;&#8221;,&#8221;inner_caption&#8221;:false,&#8221;new_window&#8221;:true,&#8221;link&#8221;:&#8221;https:\/\/www.reacfin.com\/wp-content\/uploads\/2016\/12\/140616-Reacfin-White-Paper-Banks-Replicating-Portfolio-Approach-for-Non-Maturing-Liabilities-v1.0.pdf&#8221;,&#8221;link_content&#8221;:[],&#8221;lightbox_size&#8221;:&#8221;&#8221;,&#8221;scrollbox&#8221;:false}]}],&#8221;section_settings&#8221;:&#8221;&#8221;},&#8221;scripts&#8221;:{},&#8221;css&#8221;:{},&#8221;css_page&#8221;:&#8221;&#8221;,&#8221;template_setting&#8221;:{&#8220;settings&#8221;:{&#8220;id&#8221;:&#8221;settings&#8221;}},&#8221;template_setting_top&#8221;:{},&#8221;page_setting&#8221;:{&#8220;settings&#8221;:[&#8220;lock-mode-off&#8221;]},&#8221;post_type_setting&#8221;:{&#8220;settings&#8221;:{&#8220;image&#8221;:&#8221;https:\/\/www.reacfin.com\/wp-content\/uploads\/2016\/10\/new-scientific-paper.jpg|354|777|100000979&#8243;,&#8221;excerpt&#8221;:&#8221;Approach to Determine the Duration of Non-Maturing Liabilities.\\n<br \/>\\n<a class=\\\"btn btn-sm\\\" style=\\\"margin-top:10px;\\\" href=\\\"https:\/\/www.reacfin.com\/wp-content\/uploads\/2016\/12\/140616-Reacfin-White-Paper-Banks-Replicating-Portfolio-Approach-for-Non-Maturing-Liabilities-v1.0.pdf\\\"> <i class=\\\"fa fa 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Approach&#8221;},&#8221;section_5ZtkF&#8221;:{&#8220;component&#8221;:&#8221;hc_section&#8221;,&#8221;id&#8221;:&#8221;section_5ZtkF&#8221;,&#8221;section_width&#8221;:&#8221;&#8221;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;vertical_row&#8221;:&#8221;&#8221;,&#8221;box_middle&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;section_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_vtfQF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[]},{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_5ZtkF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_icon_list_simple&#8221;,&#8221;id&#8221;:&#8221;K48k7&#8243;,&#8221;css_classes&#8221;:&#8221;text-xs &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;rows&#8221;:[{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;rm1mC&#8221;,&#8221;icon&#8221;:&#8221;fa fa-info-circle&#8221;,&#8221;text&#8221;:&#8221;Title : Replicating Portfolio Approach to Determine the Duration of Non-Maturing Liabilities: Case Study&#8221;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;deD1B&#8221;,&#8221;icon&#8221;:&#8221;fa fa-pencil&#8221;,&#8221;text&#8221;:&#8221;Authors : Wim Konings and Fran\u00e7ois Ducuroir&#8221;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;tZRoV&#8221;,&#8221;icon&#8221;:&#8221;fa fa-calendar&#8221;,&#8221;text&#8221;:&#8221;Date : 18 June 2014&#8243;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;Vx5yA&#8221;,&#8221;icon&#8221;:&#8221;fa fa-bookmark&#8221;,&#8221;text&#8221;:&#8221;Reference : Reacfin White Paper 2014&#8243;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;5ZtkF&#8221;,&#8221;icon&#8221;:&#8221;fa fa-tags&#8221;,&#8221;text&#8221;:&#8221;Key words : Retail Banking &#8211; Non-maturing liabilities &#8211; Portfolio&#8221;}],&#8221;alignment&#8221;:&#8221;text-left&#8221;,&#8221;icon_size&#8221;:&#8221;&#8221;,&#8221;list_style&#8221;:&#8221;&#8221;}]},{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_63zV6&#8243;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_space&#8221;,&#8221;id&#8221;:&#8221;fN33u&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;size&#8221;:&#8221;xs&#8221;,&#8221;height&#8221;:&#8221;&#8221;},{&#8220;component&#8221;:&#8221;hc_quote&#8221;,&#8221;id&#8221;:&#8221;42hy8&#8243;,&#8221;css_classes&#8221;:&#8221;text-s &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;Non-maturing liabilities (such as saving accounts and current accounts) [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"categories":[38],"tags":[75,58,60],"class_list":["post-100004330","post","type-post","status-publish","format-standard","hentry","category-white-papers","tag-non-maturing-liabilities","tag-portfolio","tag-retail-banking"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.3 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Replicating Portfolio Approach | Reacfin<\/title>\n<meta name=\"description\" content=\"Reacfin is a 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