Determining the total repricing gap

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Consider the following balance sheet positions for a financial institution:

Rate-sensitive assets = $200 million. Rate-sensitive liabilities = $100 million

Rate-sensitive assets = $100 million. Rate-sensitive liabilities = $150 million

Rate-sensitive assets = $150 million. Rate-sensitive liabilities = $140 million

What would be total repricing gap and the impact on net interest income of a 1% increase in interest rates for all of the positions?

a. Total repricing gap = $60 million; D NII = - $600,000

b. Total repricing gap = $60 million; D NII = $600,000

c. Total repricing gap = $450 million; D NII = $4.5 million

d. Total repricing gap = $150 million; D NII = $1 million

Reference no: EM133113581

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