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(Solved): Calculate the cumulative one-year repricing gap (CGAP) for FYE 2022 under the following assumptions: ...
Calculate the cumulative one-year repricing gap (CGAP) for FYE 2022 under the following assumptions: Balances with Central Banks are interest free, amounts due from banks all carry fixed rates, 60% of loans and advances are rate sensitive, 25% of deposits and 50% of investment securities and 100% debt securities in issue are rate sensitive. Refer to the table on page 132 of the annual report for the appropriate inputs. (7 marks) 6. Calculate the gap ratio. Based on this ratio, will net interest income rise or fall if interest rates rise? (3 marks) 7. Calculate the dollar impact on net interest income of a 2% rise in interest rates
\begin{tabular}{|l|l|l|l|} \hline & \begin{tabular}{l} \\ months \end{tabular} & \begin{tabular}{l} \\ months \end{tabular} & Total \\ \hline Assets & & & 0 \\ \hline Cash and balances with Central Banks & & 0 \\ \hline Due from banks & 3,756 & 102 & 3,858 \\ \hline Derivative financial instruments & 531,141 & 121,423 & 652,564 \\ \hline Securities & 623,120 & 159,640 & 782,760 \\ \hline Loans and advances to customers & & 281,165 & \\ \hline Total Assets & & & \\ \hline Liabilities & 4,061 & 90 & 4,151 \\ \hline Derivative financial instruments & & 189,411 & \\ \hline Customer deposits & 0 & 461 & 461 \\ \hline Debt securities & & 189,962 & \\ \hline Total Liabilities & & 91,203 & \\ \hline Net assets / liabilities & & & \\ \hline \end{tabular}