Question: 7. Consider the following asset and liability structures: . County Bank BM Asset: $10 million in a 1-year, fixed-rate commercial loan Liability: $10 million in

7. Consider the following asset and liability structures: .

County Bank BM Asset: $10 million in a 1-year, fixed-rate commercial loan Liability: $10 million in a 3-month CD City Bank \

Asset: $10 million in a 3-year, fixed-rate commercial loan Liability: $10 million in a 6month CD

a. Calculate each bank’s 3-month, 6-month, and 1-year cumulative GAP.

b. 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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