Kelompok 4:

1. Adham Nurjati
2. Anggara Dwicahya Alamsyah
3. Indah Wulandari
4. Ll. Irman Suhaedading

Integrated Mini Case: Chapters 8 and 9

Jawaban:
a. What is State Bank’s repricing gap if the planning period is six months? one year?
- Repricing gap six months
GAP = RSA-RSL
3 𝑚𝑜𝑛𝑡ℎ 𝑇 − 𝑏𝑖𝑙𝑙𝑠 3 𝑚𝑜𝑛𝑡ℎ 𝐶𝐷𝑠
={ 6 − 𝑚𝑜𝑛𝑡ℎ 𝑐𝑜𝑛𝑠𝑢𝑚𝑒𝑟 𝑙𝑜𝑎𝑛𝑠 }− { 𝑅𝑒𝑝𝑜𝑠 }
𝑓𝑖𝑥𝑒𝑑 𝑟𝑎𝑡𝑒 𝑚𝑜𝑟𝑡𝑔𝑎𝑔𝑒𝑠 (𝑚𝑎𝑡𝑢𝑟𝑖𝑛𝑔 𝑖𝑛 5 𝑚𝑜𝑛𝑡ℎ𝑠) 6 𝑚𝑜𝑛𝑡ℎ 𝑐𝑜𝑚𝑚𝑒𝑟𝑐𝑖𝑎𝑙 𝑝𝑎𝑝𝑒𝑟

= (200+250+450) – (175+300+290)
= 900 – 765
= $135 millions
Jadi, repricing gap six months sebesar $135 millions
- Repricing gap six months
GAP = RSA-RSL
3 𝑚𝑜𝑛𝑡ℎ 𝑇 − 𝑏𝑖𝑙𝑙𝑠 3 𝑚𝑜𝑛𝑡ℎ 𝐶𝐷𝑠
6 − 𝑚𝑜𝑛𝑡ℎ 𝑐𝑜𝑛𝑠𝑢𝑚𝑒𝑟 𝑙𝑜𝑎𝑛𝑠 1 𝑦𝑒𝑎𝑟 𝐶𝐷𝑠
= 7 − 𝑚𝑜𝑛𝑡ℎ 𝐶 and I loans − 𝑅𝑒𝑝𝑜𝑠
𝑓𝑖𝑥𝑒𝑑 𝑟𝑎𝑡𝑒 𝑚𝑜𝑟𝑡𝑔𝑎𝑔𝑒𝑠 (𝑚𝑎𝑡𝑢𝑟𝑖𝑛𝑔 𝑖𝑛 5 𝑚𝑜𝑛𝑡ℎ𝑠) 6 𝑚𝑜𝑛𝑡ℎ 𝑐𝑜𝑚𝑚𝑒𝑟𝑐𝑖𝑎𝑙 𝑝𝑎𝑝𝑒𝑟
{ 𝑓𝑖𝑥𝑒𝑑 𝑟𝑎𝑡𝑒 𝑚𝑜𝑟𝑡𝑔𝑎𝑔𝑒𝑠 (𝑚𝑎𝑡𝑢𝑟𝑖𝑛𝑔 𝑖𝑛 1 𝑦𝑒𝑎𝑟) } {𝑠𝑢𝑏𝑜𝑟𝑑𝑖𝑛𝑎𝑡𝑒𝑠 𝑛𝑜𝑡𝑒𝑠: 1 𝑦𝑒𝑎𝑟 𝑓𝑖𝑥𝑒𝑑 𝑟𝑎𝑡𝑒}

= (200+250+200+450+300) –(175+375+290+300+200)
= 1400-1340
= $ 60 millions
Jadi, repricing gap oner year sebesar $60 millions.

b. What is State Bank’s duration gap?

Assets A D AxD Liabilities L D LxD
Fed funds 150 0,02 Savings 50 1,25
3 accounts 62,5
3-month T-bills 200 0,22 MMDAs 460 0,50
44 230
8-year T-bonds 250 7,55 3-month CDs 175 0,20
1.887,5 35
5-year munis 50 4,25 1-year CDs 375 0,95
212,5 356,25
6-month 250 0,42 5-year CDs 350 4,85
consumer loans 105 1.697,5
5-year car loans 350 3,78 Fed funds 225 0,02
1.323 4,5
7-month C&I 200 0,55 Repos 290 0,05
loans 110 14,5
2-year C&I loans 6-month
275 1,65 453,75 commercial 300 0,55 165
paper
Fixed-rate Subordinate
mortgages 450 0,48 notes: 1-year 200 0,92
(maturing in 5 216 fixed rate 184
months)
Fixed-rate Subordinate
mortgages 300 0,85 notes: 7-year 100 6,65
(maturing in 1 255 fixed rate 665
year)
Fixed-rate
mortgages 275 4,45
(maturing in 1.223,75
15year)
Fixed-rate
mortgages 355 18,25
(maturing in 20 6.478,75
year)
Total 12.312,25 Total 3.414,25
 ∑(𝐴 𝑥 𝐷) ∑(𝐿 𝑥 𝐷)
Duration gap = 𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡𝑠 − 𝑇𝑜𝑡𝑎𝑙 𝐿𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠
12.312,25 3.414,25
= −
3156 2.778

= 3,901 – 1,23
= 2,671 tahun
Jadi, duration gapnya adalag 2,671 tahun.

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.
- next interest income next six months
RSAS naik 50 basis point
RSLS naik 35 basis point

NII = (RSA x ΔRRSA) – (RSL x ΔRRSL)

= (900 x 0,005) –(765 x 0,0035)
= 4,5 -2,6775
= $ 1,8225 millions

Jadi, net interest income menjadi $1,8225 millions. Nilai net interest income bernilai positif
karena RSA > RSL dan perubahan interest ratenya positif.

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 jika RSAS naik 35 basis point dan RSLS naik 50 basis point
NII = (RSA x ΔRRSA) – (RSL x ΔRRSL)
= (1.400 x 0,0035) –(1.340 x 0,005)
= 4,9 – 6,7
= - $1,8 millions

- Net interest income next year jika RSAS turun 35 basis point dan RSLS turun 50 basis
point
NII = (RSA x ΔRRSA) – (RSL x ΔRRSL)
= (1.400 x (-0,0035)) –(1.340 x (-0,005))
 = -4,9 + 6,7
= $1,8 millions

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.
Assets:
Interest rate turun 0,35%
Assets A D I (%) AxD ∆𝒊 ∆𝒊
A x D x 𝟏+𝒊
𝟏+𝒊
Fed funds 150 0,02 2,05 3 0,3430 -1,02891
3-month T-bills 200 0,22 3,25 44 0,3390 -14,9153
8-year T-bonds 250 7,55 6,5 1.887,5 0,3286 -620,305
5-year munis 50 4,25 7,2 212,5 0,3265 -69,3797
6-month 250 0,42 5
consumer loans 105 0,3333 -35
5-year car loans 350 3,78 6 1.323 0,3302 -436,84
7-month C&I 200 0,55 4,8
loans 110 0,3340 -36,7366
2-year C&I loans 275 1,65 4,15 453,75 0,3361 -152,484
Fixed-rate
mortgages 450 0,48 5,10
(maturing in 5 216 0,3330 -71,9315
months)
Fixed-rate
mortgages 300 0,85 6,85
(maturing in 1 255 0,3276 -83,5283
year)
Fixed-rate
mortgages 275 4,45 5,30
(maturing in 1.223,75 0,3324 -406,755
15year)
Fixed-rate
mortgages 355 18,25 5,40
(maturing in 20 6.478,75 0,3321 -2151,39
year)
Total -40,8029
Liabilities:
Liabillities turun 0,5%
Liabilities L D I (%) LxD ∆𝒊 ∆𝒊
A x D x 𝟏+𝒊
𝟏+𝒊
Savings 50 1,25 0,5
accounts 62,5 -0,00498 -0,31095
MMDAs 460 0,50 3,5 230 -0,00483 -1,11111
3-month CDs 175 0,20 3,2 35 -0,00484 -0,16957
1-year CDs 375 0,95 3,5 356,25 -0,00483 -1,72101
5-year CDs 350 4,85 5 1.697,5 -0,00476 -8,08333
Fed funds 225 0,02 2 4,5 -0,0049 -0,02206
Repos 290 0,05 2 14,5 -0,0049 -0,07108
6-month 4,05
commercial 300 0,55 165
paper -0,00481 -0,79289
Subordinate 5,55
notes: 1-year 200 0,92 184
fixed rate -0,00474 -0,87162
Subordinate 6,25
notes: 7-year 100 6,65 656
fixed rate -0,00471 -3,12941
Total -16,283

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?
ΔE = ΔA – ΔL
= - 40, 8029 – (-16,283)
= - $ 24,5199 millions

Jadi perubahan ekuitas sebesar -$ 24,5199, yang berarti ekuitas mengalami penurunan.
g. Use the duration gap model to calculate the change in equity value if the relative change in
all market interest rates is a decrease of 50 basis points.

Assets:
Interest rate turun 50 basis point
Assets A D I (%) AxD ∆𝒊 ∆𝒊
A x D x 𝟏+𝒊
𝟏+𝒊

Fed funds 150 0,02 2,05 3 -0,0049 -0,0147

3-month T-bills 200 0,22 3,25 44 -0,0048 -0,21308
8-year T-bonds 250 7,55 6,5 1.887,5 -0,0047 -8,8615
5-year munis 50 4,25 7,2 212,5 -0,0047 -0,99114
6-month 250 0,42 5
consumer loans 105 -0,0048 -0,5
5-year car loans 350 3,78 6 1.323 -0,0047 -6,24057
7-month C&I 200 0,55 4,8
loans 110 -0,0048 -0,52481
2-year C&I loans 275 1,65 4,15 453,75 -0,0048 -2,17835
Fixed-rate
mortgages 450 0,48 5,10
(maturing in 5 216
months) -0,0048 -1,02759
Fixed-rate
mortgages 300 0,85 6,85
(maturing in 1 255
year) -0,0047 -1,19326
Fixed-rate
mortgages 275 4,45 5,30
(maturing in 1.223,75
15year) -0,0047 -5,81078
Fixed-rate
mortgages 355 18,25 5,40
(maturing in 20 6.478,75
year) -0,0047 -30,7341
Total -58,2899
Liabilities:
Liabillities turun 50 basis point
Liabilities L D I (%) LxD ∆𝒊 ∆𝒊
A x D x 𝟏+𝒊
𝟏+𝒊
Savings 50 1,25 0,5
accounts 62,5 -0,00498 -0,31095
MMDAs 460 0,50 3,5 230 -0,00483 -1,11111
3-month CDs 175 0,20 3,2 35 -0,00484 -0,16957
1-year CDs 375 0,95 3,5 356,25 -0,00483 -1,72101
5-year CDs 350 4,85 5 1.697,5 -0,00476 -8,08333
Fed funds 225 0,02 2 4,5 -0,0049 -0,02206
Repos 290 0,05 2 14,5 -0,0049 -0,07108
6-month 4,05
commercial 300 0,55 165
paper -0,00481 -0,79289
Subordinate 5,55
notes: 1-year 200 0,92 184
fixed rate -0,00474 -0,87162
Subordinate 6,25
notes: 7-year 100 6,65 656
fixed rate -0,00471 -3,12941
Total -16,283

ΔE = ΔA – ΔL
= - 58,2899– (-16,283)
= - $ 42,0068 millions