Question
A bank has the following balance sheet: Assets Return Million $ Liabilities and Equity Cost Millions $ Cash 0.00 % $ 40 Fixed-rate deposits 2.50
A bank has the following balance sheet:
| Assets | Return | Million $ | Liabilities and Equity | Cost | Millions $ |
| ||||||||||||||||
| Cash |
| 0.00 | % |
| $ | 40 |
|
| Fixed-rate deposits |
| 2.50 | % |
| $ | 420 |
|
| |||||
| Investments (< 1 year) |
| 3.00 | % |
| $ | 300 |
|
| Rate-sensitive deposits |
| 1.40 | % |
| $ | 380 |
|
| |||||
| Short-term loans (< 1 year) |
| 5.50 | % |
| $ | 450 |
|
| Fed fund borrowings |
| 2.00 | % |
| $ | 50 |
|
| |||||
| Long-term fixed-rate loans (maturity > 1 year) |
| 7.20 | % |
| $ | 350 |
|
| Long-term borrowings at fixed rate (maturity > 1 year) |
| 4.70 | % |
| $ | 187 |
|
| |||||
|
|
|
|
|
|
|
|
|
| Equity |
|
|
|
| $ | 103 |
|
| |||||
| Total |
|
|
|
| $ | 1140 |
|
| Total |
|
|
|
| $ | 1140 |
|
| |||||
What is the banks one-year repricing gap? (3 points)
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