Question: QUESTION 1 Assets Amount Liabilities & Equity Amount Cash 400 One - year rate sensitive liabilities 91,600 Five - year rate sensitive assets 27,500 Fixed

QUESTION 1

Assets

Amount

Liabilities & Equity

Amount

Cash

400

One - year rate sensitive liabilities

91,600

Five - year rate sensitive assets

27,500

Fixed rate debt

181,850

Fixed rate loans

161,000

One - year rate sensitive assets

103,300

Equity

18,750

Total Assets

292,200

Total Liabilities & Equity

292,200

a. Calculate the banks one -year repricing gap.

b. Calculate the change in expected net interest income of the one year GAP if interest

rates are expected to increase by 2%.

c. What is the implication of the one-year repricing GAP on net interest income if interest

rates are expected to decrease?

d. What is the repricing gap if the maturity bucket is five years?

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