Question
The book value of DRAGON SLAYER BANKs balance sheet is listed below. The current market yield for the securities is in parentheses. The amounts are
The book value of DRAGON SLAYER BANKs balance sheet is listed below. The current market yield for the securities is in parentheses. The amounts are in millions.
Asset | Liability & Equity | ||
Cash | 55 | Demand deposits | 300 |
6 month T-bills (4.25%) | 50 | Savings accounts (2.0%) | 205 |
2 year personal fixed rate loan at | 100 | 3 month CD (2.50%) | 150 |
6.50% | |||
3 year T bills (4.85%) | 100 | 9 months CDs (3.85%) | 150 |
3 year 5.5% semi-annual coupon | 90 | 1 year term deposit (4.0%) | 520 |
T-notes (5.25%) | |||
5 year 6.2% semi-annual coupon | 100 | 2 year term deposits (4.30%) | 200 |
T-notes (5.75%) | |||
5 year personal loan (11.5%, | 350 | ||
repriced yearly) | |||
5 year bond 8.0% annual coupon | 150 | 5-year bonds at 6.75% | 250 |
issued by Spanish government with | semiannual interest, balloon | ||
rating credit rating B | payment | ||
20-year bonds at 7.5% | 250 | ||
interest, balloon payment | |||
10 year commercial loan (12.25% | 730 | ||
repriced @ 6 months) | Subordinate notes: | ||
15-year commercial loan at 10% | 220 | 3-year fixed rate (5.65%) | 230 |
interest (repriced monthly) | |||
20-year sovereign bonds 12.0% | 150 | 6-year fixed rate (6.00%) | 150 |
annual-coupon issued by | |||
Cambodian government with BB | |||
rating | Ordinary Equity | 20 | |
20-year mortgages at 8.5% interest | 390 | Preference shares | 20 |
(LVR 65%, no mortgage | |||
insurance), balloon payment^ | Retained Earnings | 40 | |
Total Assets | Total liability and equity | ||
2485 | 2485 |
Required
What is the cumulative repricing gap if the planning period is
3 month
2 year
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