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Calculate the repricing gap

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Below is an excerpt from the current rate sensitivity report for Bank A ($ million). Maturity Bucket Overnight 1-30 days 31-91 days 92-181 days Assets Federal Funds 20 Loans 0 10 15 75 Liabilities Federal Funds 50 Certificates of Deposit 5 25 40 5 Required: (a) Calculate the repricing (funding) gap for the bank using a 91-day maturity period. (b) How will a decrease of 25 basis points in all interest rates affect the banks' net interest income over a planning period of 91 days? (c) What does the bank's 91-day gap positions reveal about the bank management's interest rate forecasts and the bank's interest rate risk exposure? (d) Briefly outline merits and demerits of the repricing (funding) gap model.

Reference no: EM132679218

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