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State Bank's balance sheet is listed below. Market yields are in parenthesis, and amounts are in millions. $ 250 20 $20 150 150 100 200
State Bank's balance sheet is listed below. Market yields are in parenthesis, and amounts are in millions. $ 250 20 $20 150 150 100 200 340 120 220 50 375 250 300 350 Liabilities and Equity Demand deposits Savings accounts (1.5%) MMDAs (2.5%) (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 (1%) Overnight repos (1.25%) 6-month commercial paper (3%) Subordinate notes: 3-year fixed rate (6.55%) Subordinated debt: 7-year fixed rate (7.25%) Total liabilities 425 330 350 200 Assets Cash Fed funds (1.05%) 3-month T-bills (5.25%) 2-year T-notes (6.50%) 3-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&I 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 225 290 275 300 200 200 400 100 $ 3,545 300 225 355 400 20 400 Equity Total liabilities and equity Total assets $3.945 $ 3.945 Required: a. What is the repricing gap if the planning period is 30 days? 6 months? 1 year?2 years? 5 years? b. 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? c. What is the impact over the next year on net interest income if interest rates on RSAs increase 60 basis points and on RSLs increase 40 basis points? State Bank's balance sheet is listed below. Market yields are in parenthesis, and amounts are in millions. $ 250 20 $20 150 150 100 200 340 120 220 50 375 250 300 350 Liabilities and Equity Demand deposits Savings accounts (1.5%) MMDAs (2.5%) (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 (1%) Overnight repos (1.25%) 6-month commercial paper (3%) Subordinate notes: 3-year fixed rate (6.55%) Subordinated debt: 7-year fixed rate (7.25%) Total liabilities 425 330 350 200 Assets Cash Fed funds (1.05%) 3-month T-bills (5.25%) 2-year T-notes (6.50%) 3-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&I 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 225 290 275 300 200 200 400 100 $ 3,545 300 225 355 400 20 400 Equity Total liabilities and equity Total assets $3.945 $ 3.945 Required: a. What is the repricing gap if the planning period is 30 days? 6 months? 1 year?2 years? 5 years? b. 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? c. What is the impact over the next year on net interest income if interest rates on RSAs increase 60 basis points and on RSLs increase 40 basis points
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