代做N1577 Principles of Banking Seminar 4 GAP and DGAP analyses代写C/C++语言

日期：2025-01-11 06:07

N1577

Principles of Banking

Seminar 4

GAP and DGAP analyses

Exercise 1

Consider a bank that accepts a 18-month $30,000 Certificate of Deposit and invests the funds in a $30,000 6-month T-Bill .

a) What is the bank’s 6-month GAP?

b) Calculate the change in NII if interest rates increase by 1 percentage point.

Exercise 2

If rate-sensitive assets equal £100 million and rate-sensitive liabilities equals £80 million, what is the expected change in net interest income if rates increase by 1 percentage point (Assume a parallel shift in the yield curve)?

Exercise 3

a)    Consider the following bank balance sheet. Calculate NII, Earning Assets, NIM and GAP.

Balance Sheet
	Assets		Yield		Liabilities	Cost
Rate sensitive	$	600	8.0%		$      450	4.0%
Fixed rate	$	250	11.0%		$      370	6.0%
Non earning	$	150			$      100
					$      920
					Equity
					$        80
Total	$	1,000			$   1,000

For the following questions, also calculate NII, Earning Assets, NIM and GAP. Make necessary assumptions where appropriate.

b)    What if interest rates increase by 1 percentage point?

c)    What if interest rates decrease by 1 percentage point?

d)    What if interest rates rise and at the same time the spread falls by 1 percentage point?

e)    What if the bank proportionately doubles in size?

Exercise 4

You are provided with the following balance sheet of a bank:

Assets	Market Value	Rate	Duration	Liabilities & Equity	Market Value	Rate	Duration
Cash	£200	0%	0	Time Deposit	£1,100	3%	1
Treasury Bond	£600	5%	2.86	Certificates of Deposit (CD)	£700	5%	3.72
Commercial Loan	£1,200	11%	4.70	Equity	???

a.  What is the bank’s Economic Value of Equity (EVE)?

b.  Calculate the Interest Income from Assets.

c.  Calculate the Interest Expense on Liabilities.

d.  Calculate the value of the Net Interest Income.

e.  Calculate the weighted duration of the assets?

f.  Calculate the weighted duration of the liabilities?

g.  Calculate the Duration GAP.

h.  Based on the bank’s duration GAP, provide the possible strategies to reduce interest rate risk.

Exercise 5

Conduct duration GAP analysis using the following information:

Assets	Amount	Rate	Macaulay’s Duration (years)
Cash	£23,000	0%	0
Bonds	£102,000	7.2%	1.8
Commercial Loans	£375,000	11.0%	1.5
Liabilities & Equity	Amount	Rate	Macaulay’s Duration (years)
Small time deposits	£130,000	3.6%	4.0
Large CDs	£70,000	6.3%	1.0
Transaction accounts	£250,000	2.8%	3.3
Equity	£50,000

a. Calculate the bank’s duration GAP. Is this bank positioned to gain or lose if interest rates rise? What would be the change in EVE if all market interest rates fall by an average of 1.5 percentage points?

b. Provide a specific transaction that the bank could implement to immunise its interest rate risk. The transaction may be a new asset funded by a new liability or an asset sale and a simultaneous purchase of another asset.