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managment of banks and other financial institutions tot estion Abu Dhabi Commercial Bank has reported the following balance sheet (in AED million): Assets Liabilities Cash
managment of banks and other financial institutions
tot estion Abu Dhabi Commercial Bank has reported the following balance sheet (in AED million): Assets Liabilities Cash 10 1-month deposits 100 T-notes 1-month maturity 75 3-month certificate of deposits 80 T-bills 3-month maturity 95 6-month commercial paper 50 T-notes 2-year maturity 50 1-year time deposits 15 T-notes 10-year maturity 80 5-year certificates of deposit 55 10-year, floating-rate mortgages 35 Equity 45 Total assets 345 Total liabilities and equity 345 * The interest rate on the floating-rate mortgages is adjusted every nine months. The bank employs the repricing model to evaluate interest rate risk. Please answer the following questions, 1. Calculate the value of rate-sensitive assets (RSA) over the next year. 2. Calculate the value of rate-sensitive liabilities (RSLS) over the next year. 3. Calculate the cumulative repricing gap over the next year. 4. Does the bank face refinancing or reinvestment risk? Justify your answer. 5. Calculate the expected change in the net interest income (NND if all interest rates rise by 1 percent over the next year. 6. Calculate the cumulative repricing gap over two years. Does the bank face refinancing or reinvestment risk? Justify your
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