Kelompok 7
Anisah Nur Imani 17/417206/PEK/22769
Haris Muliyadi 17/417249/PEK/22812
Laura Intan Kristiani Sugianto 17/417271/PEK/22834
Nofia Sri Wahyuni 17/417293/PEK/22856
Equity 378
Total Assets $3,156 Total liabilities and equity $3,156
a. What is State Bank’s repricing gap if the planning period is six months? one year?
$12,312.25 $3,414.25
= −
3,156 2,778
= 3.9012 – 1.2290
= 2.6722 years
Therefore, the duration gap is 2.6722 years.
c. What is the impact over the next six months on net interest income if interest rates on
RSAs increase 50 basis points and on RSLs increase 35 basis points? Explain the
results.
d. What is the impact over the next year on net interest income if interest rates on RSAs
decrease (increase) 35 basis points and on RSLs decrease (increase) 50 basis points?
Explain the results.
Net Interest Income next year if RSAs increase 35 basis points and RSIs increase 50 basis
points
Net Interest Income = (RSA x Increase percent) – (RSL x Increase percent)
= ($1.400 x 0,0035) – ($1.340 x 0,005)
= $4.9 - $6.7
= -$1.8 million
Therefore, the change in net interest income is -$1.8 million. In other words, net interest
income decreases by $1.8 million.
Net Interest Income next year if RSAs decrease 35 basis points and RSIs decrease 50
basis points
Net Interest Income = (RSA x Decrease percent) – (RSL x Decrease percent)
= ($1.400 x 0,0035) – ($1.340 x 0,005)
= -$4.9 – (-$6.7)
= $1.8 million
Therefore, the change in net interest income is $1.8 million.
e. Use these duration values to calculate the expected change in the value of the assets and
liabilities of State Bank for a predicted decrease of 0,35 percent in interest rates on
assets and 0.50 percent on liabilities.
The expected change in the market value of assets and liabilities for a change in interest rate
can be described through following formula:
∆𝑖
ΔMV = AxDx
1+𝑖
Here,
ΔMV = Change in market value of assets or liabilities
A = Amount on assets or liabilities in million dollars
D = Duration
Δi = Change in interest rate
Change in the value of assets can be shown as below for 0.35% decrease (Δi is negative 0.35)
in interest rate.
𝜟𝒊 𝜟𝒊
Assets A D I (In %) AxD AxDx𝟏+𝒊
𝟏+𝒊
Fed funds 150 0.02 2.05 3.00 -0.3430 -1.0290
3 months T-bils 200 0.22 3.25 44.00 -0.3389 -14.9116
T-bonds 250 7.55 6.5 1887.50 -0.3290 -620.9875
Munis 50 4.25 7.2 212.50 -0.3265 -69.3813
Consumer Loans 250 0.42 5 105.00 -0.3330 -34.9650
Car Loans 350 3.78 6 1,323.00 -0.3300 -436.5900
7 month C&I loans 200 0.55 4.8 110.00 -0.3340 -36.7400
2 year C&I loans 275 1.65 4.15 453.75 -0.3360 -152.4600
Fixed rate mortgage (5
450 0.48 5.1 216.00 -0.3330 -71.9280
month)
Fixed rate mortgage (1 year) 300 0.85 6.85 255.00 -0.3275 -83.5125
Fixed rate mortgage (5 year) 275 4.45 5.3 1,223.75 -0.3323 -406.6521
Fixed rate mortgage (20
355 18.25 5.4 6,478.75 -0.3321 -2,151.5929
year)
Total 12,312.60 -4,080.7486
The last column of above table shows the change in the market value of respective assets.
The change is negative. it means that the value of assets have been decreased by these
amounts.
Change in the value of liabilities can be shown as below for 0.5% decrease (Δi is negative
0.5) in interest rate.
𝚫𝒊 𝚫𝒊
Liabilities L D I (In %) LxD AxDx𝟏+𝒊
𝟏+𝒊
Saving
50 1.25 0.50 62.50 -0.4975 -31.0938
account
MMDA 400 0.50 3.50 230.00 -0.4830 -111.0900
3 month CDs 175 0.20 3.20 35.00 -0.4845 -16.9575
1 year CDs 375 0.95 3.50 356.25 -0.4831 -172.1040
5 year CDs 350 4.85 5.00 1,697.50 -0.4762 -808.3495
Fed funds 225 0.02 2.00 4.50 -0.4902 -2.2059
Repos 290 0.05 2.00 14.50 -0.4902 -7.1079
Commercial
300 0.55 4.05 165.00 -0.4805 -79.2825
paper
Subordinated
200 0.92 5.55 184.00 -0.4737 -87.1608
debt 1 year
Subordinated
100 6.65 6.25 665.00 -0.4706 -312.949
debt 7 year
Total 3,414.25 -1,628.30
The last column of above table shows the change in the market value of respective assets. The
change is negative. it means that the value of liabilities have been decreased by these amounts.
f. What is the change in equity value forecasted from the duration values for decrease of
0.35 percent in interest rates on assets and 0.50 percent on liabilities?
E= A- L
= (-$4,080.7495)-(-$1,628.3000)
= -$2,452.4495
g. Use the duration gap model to calculate thechange in equity value if the relative change
inall market interest rates is a decrease of 50 basispoints.
The last column of above table shows the change in the market value of respective assets.
The change is negative, it means that the value of assets have been decreased by these
amounts.
Therefore, change in value of assets is -6,527.9562. in other words, value of assets has
decreased by 6,527.9562.
Change in value of liabilities is -1,628.30. in other words, value of assets has decreased by
1,628.30.
Substitute the values from sub-part E, to calculate the change in value of equity as follow:
∆E = ΔA − ΔL
= (-$6,527.9562) – (-$1,628.30)
= -$4,899.6562 million
Therefore, change in value of equity is -$4,899.6562 million, the change is negative, it means
that the value of equity has been decreased by $4,899.6562 million.