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What is the Cumulative repricing gap if the planning period is (Please show all working) a)1 Year b)3 Years PART A The book value of

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What is the Cumulative repricing gap if the planning period is (Please show all working)

a)1 Year

b)3 Years

image text in transcribed
PART A The book value of DRAGON SLAYER BANK's 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 100 6 month T-bills (4.25%) 50 Savings accounts (2.0%) 205 2 year personal fixed rate loan at 100 6.50% 3 month CD (2.50%) 150 3 year T bills (4.85%) 100 9 months CDs (3.85%) 350 3 year 5.5% semi-annual coupon 90 T-notes (5.25%) 1 year term deposit (4.0%) 520 5 year 6.2% semi-annual coupon 100 T-notes (5.75%) 2 year term deposits (4.30%) 200 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 rating credit rating B semiannual interest, balloon 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%) 340 interest (repriced monthly) 20-year sovereign bonds 12.0% 150 6-year fixed rate (6.00%) 50 annual-coupon issued by Cambodian government with BB rating Ordinary Equity 20 20-year mortgages at 8.5% interest 240 Preference shares 10 (LVR 65%, no mortgage insurance), balloon payment" Retained Earnings 40 Building 150 Total Assets 2485 Total liability and equity 2485

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