Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Health Care Finance Basic Tools For Nonfinancial Managers

Authors: Judith J. Baker, R.W. Baker

4th Edition

1284029867, 978-1284029864

More Books

Students also viewed these Finance questions

Question

My plan for self-care practice will include the following:

Answered: 1 week ago