D2L Information on Par D2L Assessment 3: Part Microsoft Word - B x Untitled document Search Results | Co x Homework Help + III = vucollaborate.vu.edu.au/content/enforced/1946655-BEO2001-1-2024-H1B2-160899/BEO2001_Group%20Assignment%20Part%202%20Balance%20she... I Part Two: Measuring the Impact of interest rate changes on the bank balance sheet Given below is the balance sheet of a hypothetical bank. Using the balance sheet and other information provided, analyse the impact of interest rate risk this bank is exposed to if the market interest rate increases by (AR) xxx bps. Microsoft Word - BEO2001_Group Assignment Part 2 Balance sh... 1 / 2 100% + 1 2 Type here to search 0 ... Balance Sheet Assets ($million) Market yields Duration % Cash 300 Interbank lending 700 1.05 0.02 3-month T-notes 450 2.50 0.25 2-year T-bonds 400 3.00 1.50 5-year T-bonds 750 3.50 10-year T-bonds 1,200 4.00 Consumer loans 800 6.00 3.50 Business loans 1,450 5.80 5.58 Fixed rate mortgages 2,300 3.85 10.50 Variable-rate mortgages 700 3.30 7.50 Premises & equipment 300 Total assets 9,350 Liability & Equity Demand deposits 1,490 Savings accounts 1,550 1.50 0.50 N 18C Partly sunny > 10 C. 4 P ENG 2:33 PM 13/04/2024 B PRE D2L Information on Par D2L Assessment 3: Part Microsoft Word - B x Untitled document * Search Results | Co x Homework Help + III = vucollaborate.vu.edu.au/content/enforced/1946655-BEO2001-1-2024-H1B2-160899/BEO2001_Group%20Assignment%20Part%202%20Balance%20she... Microsoft Word - BEO2001_Group Assignment Part 2 Balance sh... 1 / 2 - 100% + I 1 Premises & equipment Total assets Liability & Equity Demand deposits Savings accounts 3-month CDs 6-month CDs 1-year CDs 5-year CDs 300 9,350 1,490 1,550 1.50 0.50 275 2.00 0.25 300 2.30 0.50 700 2.50 * 1,950 3.00 Interbank borrowings 885 1.00 0.02 Commercial paper 600 3.05 0.45 Subordinated debt: fixed rate 600 3.25 6.65 Total liabilities 8,350 Equity 1,000 Total liabilities and equity 9,350 2 Type here to search 0 Notes: Please use the following notes in conjunction with the balance sheet data. 1. The coupon rate paid on 5-year T-bonds is 4.25% (per annum). The coupon payment is received semi-annually. 2. The coupon rate paid on 10-year T-bonds is 5.25% (per annum) and the coupon payment is received annually. 3. Variable rate mortgages are repriced at every six months. 4. 1-year CDs have been issued with a coupon rate of 3.00% (per annum, semiannual payments) 6 C N 18C Partly sunny P ENG 2:33 PM 13/04/2024 PRE D2L Information on Par D2L Assessment 3: Part Microsoft Word - B x Untitled document Search Results | Co x Homework Help + III = vucollaborate.vu.edu.au/content/enforced/1946655-BEO2001-1-2024-H1B2-160899/BEO2001_Group%20Assignment%20Part%202%20Balance%20she... 100% + payment 18 TOCCIVC sem armuany. 2. The coupon rate paid on 10-year T-bonds is 5.25% (per annum) and the coupon payment is received annually. 3. Variable rate mortgages are repriced at every six months. 4. 1-year CDs have been issued with a coupon rate of 3.00% (per annum, semiannual payments) Microsoft Word - BEO2001_Group Assignment Part 2 Balance sh... 1 / 2 1 2 Type here to search 1 0 ... Ib ... 5. 5-year CDs has been issued with a coupon rate of 4.25% (per annum, annual payments). 6. The current price on IRFs is $98.25 per $100 FV with a contract size of $1,250,000. The duration of the deliverable security is xxx yrs. Assume that the sensitivity of the futures and spot rates (b ratio) is equal to xxx. 7. xxx denotes missing data 16 C N 18C Partly sunny 2:33 PM ENG 13/04/2024 B PRE Change in Rates (basis points) Duration of IRF b ratio Group Number 1 50 2 45 3 30 4 35 10.25 1 10 0.95 9.25 0.9 8.5 0.75