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Groups 1 - 5 answer questions 1 , 3 and 5 Groups 6 - 1 0 answer questions 2 , 4 and 5 Question 1
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a Emily Mensah is a Treasurer of Ansaba Bank Limited. During ALCO last month members
expressed concern about the continuous increase in interest rates over the next year and
its impact on the bank's net interest income. The Treasurer was therefore tasked to make a
presentation to ALCO at the next monthly meeting on the interest rate risk the bank currently
has and what should be done to hedge this risk.
She has gathered the following extracts from the bank's balance sheet as at December
Assets
Consumer loans GHS m year maturity with rates fixing every months
Corporate Loans GHS m year tenor with months rate fixing.
Mortgage LoansGHS year maturity with year rate fixing
Fixed rate loans GHS year personal loans.
Government SecuritiesGHS day, m day and year bond.
Interbank LendingGHS invested for week
Fixed assetsGHS
CashGHS
Liabilities
Current Accounts GHS m
Savings Accounts GHS
Time Deposits GHS m with months maturity
Negotiable CertificateGHS months maturity
Interbank borrowingsGHS with days to mature
Subordinated debtGHS with rates fixing every
You are required to:
i Calculate the months Rate Sensitive Assets RSA Rate Sensitive Liabilities and Re
pricing gap.
ii Calculate the impact of a basis point increase in interest rate on the bank's net
interest income over the next months
iii Calculate the impact on the bank's net interest income if as a results of increase in market
interest rates, asset rates increase by bps whilst liability rate increase by bps
iv Briefly highlights the bank can do to minimize its interest rate risk position.Question
a Explain what is meant by credit appraisal? What are the components of Credit
Appraisal?
b Baidu Bank Ghana ABG Ltd is a newly licensed bank in Ghana. ABG charges
origination fees, margin on loans with maturity above rs The reference
benchmark rate for pricing the bank's loans is the Ghana Reference Rate GRR A
corporate client by name E limited is seeking to borrow GHS for
i Calculate the Ghana Reference Rate
ii Calculate the expected Interest Rate to be paid by E Limited. What if the loan
is for years?
Assume current day rate is Interbank Rate is and the Monetary Policy Rate
is Cash Reserve Requirement is and Cash in Vault CIV is
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