uestion Consider the following balance sheet positions for a financial institution: • Rate-sensitive assets = $120 million; Rate-sensitive liabilities = $180 million. • Rate-sensitive assets = $230 million; Rate-sensitive liabilities = $200 million. a) Calculate the repricing gap and the impact on net interest income of a 2 percent increase in interest rates for each position. b) Calculate the repricing gap and the impact on net interest income of a 2 percent decrease in interest rates for each position. c) Explain the type of risk this FI is exposed to in each position.
uestion Consider the following balance sheet positions for a financial institution: • Rate-sensitive assets = $120 million; Rate-sensitive liabilities = $180 million. • Rate-sensitive assets = $230 million; Rate-sensitive liabilities = $200 million. a) Calculate the repricing gap and the impact on net interest income of a 2 percent increase in interest rates for each position. b) Calculate the repricing gap and the impact on net interest income of a 2 percent decrease in interest rates for each position. c) Explain the type of risk this FI is exposed to in each position.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Consider the following balance sheet positions for a financial institution:
• Rate-sensitive assets = $120 million; Rate-sensitive liabilities = $180 million.
• Rate-sensitive assets = $230 million; Rate-sensitive liabilities = $200 million.
a) Calculate the repricing gap and the impact on net interest income of a 2 percent increase in interest rates for each position.
b) Calculate the repricing gap and the impact on net interest income of a 2 percent decrease in interest rates for each position.
c) Explain the type of risk this FI is exposed to in each position.
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