Calculate the bank one-year repricing gap

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Reference no: EM132047207

A bank has the following balance sheet:

Assets Return million$ Liabilies and Equity cost million$

cash 0.00% 35 fixed-rate depeosits 3.50% 240

investment(<1 year) 4.00% 200 rate-sensitive deposits 2.00% 260

short term loans(< year) 6.00% 225 fed fund borrowings 2.50%. 25

long term fixed rate loans(maturity>1year). 6.75 250 longterm borrow fixed rate(mat>1year) 5.50% 119

Total $710 Equity 66

Total $710

Calculate the bank's one-year repricing gap (in millions of $).

Also, if interest rates decline by 100 basis points, estimate the change in the bank’s NII over the year.

Reference no: EM132047207

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