Consider the following balance sheet for JFD Bank

Assets ($ million)	$	Liabilities ($ million)	$
Cash	10	Overnight interbank borrowing (7.00%)	150
T-notes 1 month (7.05%)	75	7 year fixed rate Subordinated debt (8.55%)	145
T-notes 3 months (7.25%)	50
T-notes two-year (7.50%)	45	Equity	10
T-notes 10-year (8.96%)	100
Corporate bonds	25
Total assets	305	Total liabilities and Equity	305

a) What is the repricing (funding) gap over the 0-to-one-year maturity bucket? (Recall that cash is a non-interest earning asset)

b) What is the incremental and cumulative repricing gap over the one-year to twoyear maturity bucket?

c) Calculate the impact on net interest income (in dollars) if interest rates increase 20 basis points for the repricing gap in part (a) and cumulative repricing gap in part (b).

d) If the duration of assets is 3.8 years and the duration of liabilities is 3.2 years, what is the JFD banks duration gap?

e) What interest rate exposure a financial institution would have if (i) it has a negative repricing gap and (ii) it has a positive repricing gap?

f) What conclusions regarding JFD banks interest rate risk exposure can you draw from the duration gap in your answer to part (e)?