UK Hedging Strategies

Aug 5, 2012
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Hi All,

Hoping I can get some assistance on the following treasury/hedging question:-

3 Year Business Plan: 2012-2014
Treasury have been asked to present their 3 year income plan for the management teams consideration, before incorporating into the overall business plan:
- Say GBP 600 Million of balances, of which GBP 100 Million pay interest to a client at base rate less 25 BPS
- Assume hedge in place, swap receiving @ 1.5% fixed vs paying rate until June 2013 on GBP 400 Million principal
- Interest can be earned at base rate unless you place on deposit say you can identify up to GBP 50 Million on 1 Year notice and GBP 100 Million on 3 Month notice

What questions would you pose based on the above information? are you able to put some calculation together based on the information above?

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