A bank has the following balance sheet:

ASSETS	RETURN	MILLION$	LIABILITIES AND EQUITY	COST	MILLION$
cash	0.00%	$35	fixed-rate deposits	3.50%	$240
investments(<1year)	4.00%	$200	rate-sensitive deposits	2.00%	$260
short-term loans(<1 year)	6.00%	$225	fed fund borrovigs	2.50%	$25
long-term fixed rate loans (maturity>1 year)	6.75%	$250	long-term borrowing fixed rate(maturity>1year)	5.50%	$119
Total		$710	equity		$66
			total		$710

Calculate the bank's one-year repricing gap (in millions of $).

Also, if interest rates decline by 100 basis points, estimate the change in the bank’s NII over the year.

Answer rating: 100% (QA)

To calculate the banks oneyear repricing gap we need to determine the difference between the ratesen... View the full answer