Consider the following asset and liability structures: County Bank Asset: $ 10 million in a one- year,

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Consider the following asset and liability structures:
County Bank
Asset: $ 10 million in a one- year, fixed- rate commercial loan
Liability: $ 10 million in a three- month CD
City Bank
Asset: $ 10 million in a three- year, fixed- rate commercial loan
Liability: $ 10 million in a six- month CD
Calculate each bank’s three- month, six- month, and one- year cumulative GAP.
Which bank has the greatest interest rate risk exposure as suggested by each GAP measure? Consider the risk position over the different intervals.
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Bank Management

ISBN: 978-1133494683

8th edition

Authors: Timothy W. Koch, S. Scott MacDonald

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