Risk Management Manual of Examination Policies - FDIC

Maturity Distribution (GAP) Analysis 99999
MATURITY DISTRIBUTION SCHEDULE
Assets and Net Gap for Spot Rate
Monetary Maturity Purchases Liabilities and Period P = Prem.
Unit Dates Long Sales Short Long/Short D = Disc. Profit Loss
F.C. F.C. F.C. U.S. 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
Less: Profit/Loss
0 0
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
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