What is the cumulative repricing gap if the planning period is: 1) 6 Months 2) 2
ID: 2656097 • Letter: W
Question
What is the cumulative repricing gap if the planning period is:
1) 6 Months 2) 2 Years
balance sheet is listed below. The current market ield for the securities is in he amounts are in millions. Asset Liability & E 55 Demand deposits 300 Savings accounts (2.0%) 3 month CD (2.50%) 9 months CDs (3.85%) 1year term deposit (4.0%) 2 year term deposits (4.30%) 205 150 150 6 month T-bills (4.25%) 50 100 100 90 100 350 2 year personal fixed rate loan at 6.50% 3 year T bills (4.85%) 3 year 5.5% semi-annual coupon T-notes (5.25%) 5 year 6.2% semi-annual coupon T-notes (5.75%) 200 5 year personal loan (11.5%, repriced yearly) 150 5-year bonds at 6.75% semiannual interest, balloon 250 5 year bond 8.0% annual coupon issued by Spanish government with rating credit rating B 20-year bonds at 7.5% interest, balloon payment 250 730 10 year commercial loan (12.25% repriced @ 6 months) Subordinate notes 220 3-year fixed rate (5.65%) 230 15-year commercial loan at 10% interest (repriced monthly) 150 150 20-year sovereign bonds 12.0% annual-coupon issued by Cambodian government with BB rating 6-year fixed rate (6.00%) Ordinary Equity Preference shares 20 20 390 20-year mortgages at 8.5% interest (LVR 65%, no mortgage insurance), balloon payment Retained Earnings 40 Total Assets 2485 Totbiity and equity 2485Explanation / Answer
Gap = Value of Rate sensitive Assets - Value of Rate sensitive Liabilities 1) 6 months Gap = $50 - $1225 -1175 Million 2) 2 years gap = $1000 - $1225 -$225.00 Million Rate Sensitive Assets 6 month T-bills (4.25%) $50.00 10 year commercial loan (12.25%repriced six monthly $730.00 15-year commercial loan at 10% repriced monthly $220.00 Total value of Rate senstive Liabilities $1,000.00 Rate sensitive Liabilities Savings accounts (2.0%) 205 3 month CD (2.50%) 150 3 month CD (2.50%) 150 1 year term deposit (4.0%) 520 2 year term deposits (4.30%) 200 Total value of Rate senstive Liabilities 1225
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