1.Go to Westpac’s website and find the latest Westpac New Zealand Disclosure Statement.

Examine the document and discuss the sensitivities of Westpac NZ’s assets and liabilities to interest rate movements over the period covered by the report and the impact that interest rate volatility had on net interest income. www.westpac.com.au/docs/pdf/aw/September_2011_WNZL_DS.pdf .

What is the repricing gap if the planning period is 30 days? 6 months? 1 year? 2 years? 5 years?
What is the impact over the next six months on net interest income if interest rates on RSAs increase 60 basis points and on RSLs increase 40 basis points?
What is the impact over the next year on net interest income if interest rates on RSAs increase 60 basis points and on RSLs increase 40 basis points?

Transcribed Image Text:

Integrated Mini Case Calculating and using the repricing gap Allied National Bank's balance sheet is listed below. Market yields are in parentheses and amounts are in millions. Assets Cash Interbank lending (5.05%) 3-month T-notes (5.25%) 2-year T-bonds (6.50%) 8-year T-bonds (7.50%) Liabilities and equity 20 Demand deposits 250 150 Savings accounts (1.5%) 20 150 Money market deposit accounts (4.5%) (no min balance requirement) 340 100 3-month CDs (4.2%) 120 200 6-month CDs (4.3%) 220