DESCRIPTION: The included file is Ally Bank’s “call report” submitted to the FDI

DESCRIPTION:
The included file is Ally Bank’s “call report” submitted to the FDIC on 10/26/2023 (for the fiscal quarter ended on 9/30/2023).
NOTES:
(a). The dollar amounts are in thousands.
(b). Use the following procedure to make conservative estimations of durations in various maturity buckets. First, for a bucket that is within a range, use the average value. For example, for the “Three months or less” bucket, the average duration is (0+3/12)/2=0.125 years. For the “Over three years through five years” bucket, the average duration is (3+5)/2=4 years. Second, for the last bucket in each category, use the stated duration. For example, for the “Over 15 years” bucket, the duration is 15 years. For the “Over three years” bucket, the duration is 3 years.
(c). Use the book leverage ratio as a proxy for the market leverage ratio.
(d). Use the reported accounting values to calculate the weight for each asset or liability item.
(e). Assume the current interest rate is 4.67%.
As a bond fund analyst for Patriot Funds, you are assigned to cover several banks, including Ally Bank. One of your major tasks is to estimate how interest rate fluctuations in the next several years could affect Ally’s Balance Sheet, especially the items that are “rate sensitive”.
Specifically, you are tasked to address the questions listed below. To answer those questions, you need to obtain several consolidated accounting items from the quarterly Consolidated Balance Sheet on pages 18-19 (reported in Schedule RC) and subsequent detailed items related to assets, liabilities, and equity (reported in subsequent Schedule RC-A to V forms). Although the number of accounting items could be overwhelming, to estimate interest rate risk, you only need to focus on assets and liabilities that are rate sensitive (reported as “Maturity and repricing data”).
To save you some time, the following are tahe specific sections that you should focus on to find accounting items required for your estimation:
For Ally’s leverage ratio, you need its Consolidated Balance Sheet (pages 18-19).
For Ally’s rate-sensitive assets (RSAs), there are two major categories. You need to sum up RSAs from these two categories to reach the total R SAs for each bucket.
oInvestments in Debt Securities are reported on page 21 (Schedule RC-B).
oInvestments in Loans and Leases (Schedule RC-C, Part I) are reported on page 25.
For Ally’s rate-sensitive liabilities (RSLs), there are three major categories. Again, you need to sum up the numbers in these three categories for each bucket.
oThe Deposit Liabilities are reported on pages 32-33 (Schedule RC-E, Part I).
oOther Borrowed Money is reported on page 42 (Schedule RC-M). NOTE: Do NOT include items 5.a.(2) and 5.b.(2) on page 42 since they are already included in 5.a.(1)(a) and 5.b.(1)(b), respectively.
oUnsecured Other Borrowings are reported on page 48 (Schedule RC-O).
QUESTIONS:

What is the repricing gap if the planning period is 3 months, 1 year, 3 years, or 5 years?