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Please do 1, 2, & 4. 1. Nearby Bank has the following balance sheet (in millions): - What is the maturity gap for Nearby Bank?
Please do 1, 2, & 4.
1. Nearby Bank has the following balance sheet (in millions): - What is the maturity gap for Nearby Bank? - Is Nearby Bank more exposed to an increase or decrease in interest rates? - Explain why (i.e. is the bank short funded or long funded)? 2. A bank has the following balance sheet: Suppose interest rates fall such that the average yield on rate-sensitive assets decreases by 15 basis points and the average yield on rate-sensitive liabilities decreases by 35 basis points. a) Calculate the bank's repricing GAP (CGAP), gap to total assets and gap ratio. b) Assuming the bank does not change the composition of its balance sheet, calculate the resulting change in the bank's interest income, interest expense, and net interest income. c) Explain how the CGAP and spread effects influenced this change in net interest income. 3. What is a maturity gap? How can the maturity model be used to immunize (hedge) an Fl's portfolio? 4. A bank has the following balance sheet: Suppose interest rates rise such that the average yield on rate-sensitive assets falls by 55 basis points and the average yield on rate-sensitive liabilities falls by 35 basis points. a) Calculate the bank's repricing GAP, gap to total assets ratio and gap ratio. b) Assuming the bank does not change the composition of its balance sheet, calculate the resulting change in the bank's interest income, interest expense, and net interest income. c) Explain how the CGAP and spread effects influenced the change in net interest income. 1. Nearby Bank has the following balance sheet (in millions): - What is the maturity gap for Nearby Bank? - Is Nearby Bank more exposed to an increase or decrease in interest rates? - Explain why (i.e. is the bank short funded or long funded)? 2. A bank has the following balance sheet: Suppose interest rates fall such that the average yield on rate-sensitive assets decreases by 15 basis points and the average yield on rate-sensitive liabilities decreases by 35 basis points. a) Calculate the bank's repricing GAP (CGAP), gap to total assets and gap ratio. b) Assuming the bank does not change the composition of its balance sheet, calculate the resulting change in the bank's interest income, interest expense, and net interest income. c) Explain how the CGAP and spread effects influenced this change in net interest income. 3. What is a maturity gap? How can the maturity model be used to immunize (hedge) an Fl's portfolio? 4. A bank has the following balance sheet: Suppose interest rates rise such that the average yield on rate-sensitive assets falls by 55 basis points and the average yield on rate-sensitive liabilities falls by 35 basis points. a) Calculate the bank's repricing GAP, gap to total assets ratio and gap ratio. b) Assuming the bank does not change the composition of its balance sheet, calculate the resulting change in the bank's interest income, interest expense, and net interest income. c) Explain how the CGAP and spread effects influenced the change in net interest income
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