a. What is the repricing gap (cumulative GAP) if the planning period is 30 days? 6 months? 1 year? 2 years? 5 years?
b. What is the interest rate risk exposure of the bank for each planning period?
c. What is the impact over the next six months on net interest income if interest rates on RSAs increase 60 basis points and on RSLs increase 40 basis points? What changes in portfolio composition would you recommend to management (if necessary)? Be specific.
$ $ 250 20 20 150 150 100 200 50 250 300 350 200 Assets Cash Fed funds (5.05%) 3-month T-bills (5.25%) 2-year T-notes (6.50%) 8-year T-bonds (7.50%) 5-year munis (floating rate) (8.20%, repriced @ 6 months) 6-month consumer loans (6%) 1-year consumer loans (5.8%) 5-year car loans (7%) 7-month C&I loans (5.8%) 2-year C&l loans (floating rate) (5.15%, repriced @ 6 months) 15-year variable-rate mortgages (5.8%, repriced @ 6 months) 15-year variable-rate mortgages (6.1%, repriced @year) 15-year fixed-rate mortgages (7.85%) 30-year variable-rate mortgages (6.3%, repriced @ quarter) 30-year variable-rate mortgages (6.4%, repriced @month) 30-year fixed-rate mortgages (8.2%) Premises and equipment Total assets Liabilities and Equity Demand deposits Savings accounts (1.5%) MMDAs (4.5%) (no minimum balance requirement) 3-month CDs (4.2%) 6-month CDs (4.3%) 1-year CDs (4.5%) 2-year CDs (5%) 4-year CDs (5.5%) 5-year CDs (6%) Fed funds (5%) Overnight repos (5%) 6-month commercial paper (5.05%) Subordinate notes: 3-year fixed rate (6.55%) Subordinated debt: 7-year fixed rate (7.25%) Total liabilities 340 120 220 375 425 330 350 225 290 300 275 200 200 400 300 100 $3,545 225 355 400 20 $3,945 Equity Total liabilities and equity 400 $3,945 $ $ 250 20 20 150 150 100 200 50 250 300 350 200 Assets Cash Fed funds (5.05%) 3-month T-bills (5.25%) 2-year T-notes (6.50%) 8-year T-bonds (7.50%) 5-year munis (floating rate) (8.20%, repriced @ 6 months) 6-month consumer loans (6%) 1-year consumer loans (5.8%) 5-year car loans (7%) 7-month C&I loans (5.8%) 2-year C&l loans (floating rate) (5.15%, repriced @ 6 months) 15-year variable-rate mortgages (5.8%, repriced @ 6 months) 15-year variable-rate mortgages (6.1%, repriced @year) 15-year fixed-rate mortgages (7.85%) 30-year variable-rate mortgages (6.3%, repriced @ quarter) 30-year variable-rate mortgages (6.4%, repriced @month) 30-year fixed-rate mortgages (8.2%) Premises and equipment Total assets Liabilities and Equity Demand deposits Savings accounts (1.5%) MMDAs (4.5%) (no minimum balance requirement) 3-month CDs (4.2%) 6-month CDs (4.3%) 1-year CDs (4.5%) 2-year CDs (5%) 4-year CDs (5.5%) 5-year CDs (6%) Fed funds (5%) Overnight repos (5%) 6-month commercial paper (5.05%) Subordinate notes: 3-year fixed rate (6.55%) Subordinated debt: 7-year fixed rate (7.25%) Total liabilities 340 120 220 375 425 330 350 225 290 300 275 200 200 400 300 100 $3,545 225 355 400 20 $3,945 Equity Total liabilities and equity 400 $3,945
