Question: Given the following data below, when and by how much is the bank exposed to interest rate risk? For each maturity or repricing interval, what
Given the following data below, when and by how much is the bank exposed to interest rate risk? For each maturity or repricing interval, what changes in interest rates will be beneficial and which will be damanging, given the current portfolio position:
Chapter 7, Problem 8: Interest Rate Risk Analysis, page 249.
| Output Area: | ||||
| Coming | Next | Next | More than | |
| Week | 30 Days | 31-90 Days | 90 Days | |
| Loans | $200.00 | $300.00 | $460.00 | $525.00 |
| Securities | $21.00 | $26.00 | $40.00 | $70.00 |
| Interest Sensitive Assets | $221.00 | $326.00 | $500.00 | $595.00 |
| Transaction deposits | $320.00 | $0.00 | $0.00 | $0.00 |
| Time Accounts | $100.00 | $290.00 | $196.00 | $100.00 |
| Money Market borrowings | $136.00 | $140.00 | $100.00 | $65.00 |
| Interest Sensitive Liabilities | $556.00 | $430.00 | $296.00 | $165.00 |
| GAP | ($335.00) | ($104.00) | $204.00 | $430.00 |
| Cumulative Gap | ($335.00) | ($439.00) | ($235.00) | $195.00 |
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