Question
a)Calculate the repricing gap and the impact on net interest income of a 1 percent increase in interest rates for each of the following positions:
a)Calculate the repricing gap and the impact on net interest income of a 1 percent increase in interest rates for each of the following positions:
Rate-sensitive assets = $200 million.Rate-sensitive liabilities = $100 million.
Rate-sensitive assets = $100 million.Rate-sensitive liabilities = $150 million.
Rate-sensitive assets = $150 million.Rate-sensitive liabilities = $140 million.
b)Calculate the impact on net interest income on each of the above situations assuming a 1 percent decrease in interest rates.
c)What conclusion can you draw about the repricing model from these results?
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Investments Analysis and Management
Authors: Charles P. Jones
12th edition
978-1118475904, 1118475909, 1118363299, 978-1118363294
