|
Risk Management Manual of Examination Policies
Section 17.1 - International Report Pages and Workpapers
| Maturity Distribution (GAP) Analysis |
99999 |
Maturity Distribution Schedule |
| Monetary Units |
Maturity Dates |
Assets and Purchases Long F.C. |
Liabilities and Sales Short F.C. |
Net Gap for Period Long/Short F.C. |
Spot Rate
P = Prem.
D = Disc. |
Profit U.S. |
Loss U.S. |
| Pound(UK) |
5/15 |
51,000 |
100,000 |
(49,000) |
|
|
|
| |
5/16 |
25,000 |
|
25,000 |
|
|
|
| |
5/17 |
25,000 |
|
25,000 |
|
|
|
| |
5/18 |
35,000 |
|
35,000 |
|
|
|
| |
5/19 |
50,000 |
40,000 |
10,000 |
|
|
|
| |
5/22 |
|
50,000 |
(50,000) |
|
|
|
| |
5/23 |
50,000 |
75,000 |
(25,000) |
|
|
|
| |
5/24 |
100,000 |
50,000 |
50,000 |
|
|
|
| |
5/25 |
50,000 |
|
50,000 |
|
|
|
| |
5/30 |
50,000 |
75,000 |
(25,000) |
|
|
|
| |
5/31 |
|
100,000 |
(100,000) |
|
|
|
| |
June |
110,500 |
100,000 |
10,500 |
|
|
|
| |
July |
125,000 |
203,000 |
(78,000) |
|
|
|
| |
August |
175,000 |
110,000 |
65,000 |
|
|
|
| |
September |
|
75,000 |
(75,000) |
|
|
|
| |
October |
245,000 |
225,000 |
20,000 |
|
|
|
| |
November |
175,000 |
100,000 |
75,000 |
|
|
|
| |
December |
325,000 |
200,000 |
125,000 |
|
|
|
| |
20X6 |
370,000 |
300,000 |
70,000 |
|
|
|
| |
20X7 |
150,000 |
50,000 |
100,000 |
|
|
|
| |
20X8 |
250,000 |
50,000 |
200,000 |
|
|
|
| |
After |
100,000 |
|
100,000 |
|
|
|
| |
TOTALS |
2,461,500 |
1,903,000 |
558,500 |
|
0 |
0 |
| |
Less: Profit/Loss |
|
|
|
|
|
|
| |
Future Adjustment |
|
|
|
|
0 |
0 |
|
Yes |
No |
2. Are future maturities of foreign assets, liabilities, and contracts reasonably matched with respect to long and short positions in all time periods? |
X |
|
|
