1. What is the banks 91 day cumulative repricing gap? What is the impact on the banks net interest income if interest rates rise 5 basis points over the calendar quarter?

Bank of Baruch Assets: 91 day US Treasury bill 2 vear commercial loans million Liabilities: 1 year Certificates of Deposit 5 year Bonds $150m 75m $825n 70n Fixed rate, 9% pa. annually 10 year corporate loans-iloating rate: LIBOR+50bp, semiannual roll date Overnight Fed Funds 91-day Commercial Paper Equity 100n 270r 65n 505m 1o year floating rate mortgages quarterly roll dates 600m Notes: Commercial paper is a pure discount instrument. The 5 year bonds pay 8.5% p.a. semiannually with a yield of 7.5% pa. and have a duration of 4.2 years. The 1 year Certificates of Deposit pay 2.75% pa. annually. All values are market values. Bank of Baruch Assets: 91 day US Treasury bill 2 vear commercial loans million Liabilities: 1 year Certificates of Deposit 5 year Bonds $150m 75m $825n 70n Fixed rate, 9% pa. annually 10 year corporate loans-iloating rate: LIBOR+50bp, semiannual roll date Overnight Fed Funds 91-day Commercial Paper Equity 100n 270r 65n 505m 1o year floating rate mortgages quarterly roll dates 600m Notes: Commercial paper is a pure discount instrument. The 5 year bonds pay 8.5% p.a. semiannually with a yield of 7.5% pa. and have a duration of 4.2 years. The 1 year Certificates of Deposit pay 2.75% pa. annually. All values are market values