Question
In: Finance
(A) Using the data below, determine the repricing gap for each maturity range. maturity range time...
(A) Using the data below, determine the repricing gap for each maturity range.
|
maturity range |
time deposits |
expected MMDA runoff |
expected savings runoff |
securities |
loans and leases |
|
3 months or less |
3500000 |
450000 |
550000 |
35000 |
4000000 |
|
over 3 months to 1 year |
2050000 |
2250000 |
3250000 |
210000 |
7500000 |
|
over 1 year to 3 years |
450000 |
0 |
0 |
180000 |
2000000 |
|
over 3 years |
100000 |
0 |
0 |
550000 |
3800000 |
(B). If interest rates are expected to increase by 85 basis points over the next year, what effect will it have on the bank in the following year?
Solutions
Expert Solution
a) Repricing Gap is the difference of risk sensitive assets and liabilities of a Bank.
b) The interest rate increase by 85 basis points will lead to change in the Net Interest Income.
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