Modelling a bank
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We are opening our first branch …
We are able to take EUR 10m sight deposits paying no external interest
– With respect to the LCR assume 10% outflow for the first month
– Further with respect to liquidity assume 20% outflow in the first year and
additional 5% each following year
– With respect to interest rates we keep 10% in the overnight and model the
remaining 9o% for 10 years
– Having modelled interest and liquidity, assume the corresponding transfer price is
1%
We need EUR 5m cash in hand in our branch
– Cash in hand qualifies as HQLA
– Keep it in the overnight according interest and liquidity
The remaining EUR 5m we will invest into a 10 year government bond, floating rate, fixing
every three months, external rate 0% ( also 0% margin )
Question:
Balacesheet, funding Matrix, Interest rate sensitive
We are able to take EUR 10m sight deposits paying no external interest
– With respect to the LCR assume 10% outflow for the first month
– Further with respect to liquidity assume 20% outflow in the first year and
additional 5% each following year
– With respect to interest rates we keep 10% in the overnight and model the
remaining 9o% for 10 years
– Having modelled interest and liquidity, assume the corresponding transfer price is
1%
We need EUR 5m cash in hand in our branch
– Cash in hand qualifies as HQLA
– Keep it in the overnight according interest and liquidity
The remaining EUR 5m we will invest into a 10 year government bond, floating rate, fixing
every three months, external rate 0% ( also 0% margin )
Question:
Balacesheet, funding Matrix, Interest rate sensitive
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