1. The following is the balance sheet of Boston Bank.

3-mth T-Bills $60m Demand Deposit $110m

1-yr Loans $90m Fed funds $20m

5-yr Bonds $100m 1-mth CD $70m

10-yr Mortgages $30m 3-yr Notes $45m

Equity $35m

(a) What is the impact on NII if interest rates rise by 15bp in the coming 3 months? Ignore

runoffs.

(b) What is the impact on NII if interest rates drop by 40bp at the end of Year 3? Ignore

runoffs.

(c) For a 1-yr repricing basket, how will NII change if interest rates on RSAs increase 60 basis

points and those on RSLs increase 80 basis points? Ignore runoffs.