What is the risk exposure of abs building society

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NG Bank owns $300 million of variable-rate notes yielding BBR plus 4 per cent. These loans are financed by $300 million of fixed-rate bonds costing 5 per cent. ABS Building Society has $300 million of mortgage loans with a fixed rate of 7 per cent. The loans are financed by $300 million of CDs at a variable rate of bank-bill rate (BBR) plus 3 per cent.

Problem 1: What is the risk exposure of ABS Building Society?

Reference no: EM132934304

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