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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