Question
Consider the following balance sheet for XBank: Assets Return Million $ Liabilities & Equity Cost Million $ Cash 0.0% $30 Fixed-rate deposits 3.5% $245 Investments
Consider the following balance sheet for XBank:
Assets |
| Return | Million $ | Liabilities & Equity | Cost | Million $ | |
Cash | 0.0% | $30 | Fixed-rate deposits | 3.5% | $245 | ||
Investments (<1 year) | 4.0% | $210 | Rate-sensitive deposits | 2.0% | $280 | ||
Short-term loans (< 1year) | 6.0% | $230 | Fed fund borrowings | 2.5% | $15 | ||
Long-term fixed rate loans | Long-term borrowings at | ||||||
(maturity > 1 year) | 6.8% | $270 | fixed rate (maturity >1 year) | 5.5% | $135 | ||
|
|
|
| Equity |
|
| $65 |
Total | $740 | Total | $740 |
a) The bank's one-year repricing gap is ___________ (Million $)
b) If the spread effect is zero and all interest rates decline 50 basis points, the bank's NII will change by ________________ over the year.
c) For a 9-month maturity bucket the bank has _________________ in fixed-rate assets and _________________ in fixed-rate liabilities.
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