What is re-pricing gap if planning period is three months

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Reference no: EM131829577

Using the following information for the company XYZ. Amounts are in millions.

Assets Liabilities and Equity

Cash $20 3 Months CD $50

1-month T-bills 15 Subordinated debt

3-month T-bills 25 7-year fixed rate 75

2-year T-notes 50

Equity 15

Total assets $125 Total liabilities & equity $125

a. What is the re-pricing gap if the planning period is 3 months?

b. Calculate the NII if the interest rate is raised from 3% to 4%.

Reference no: EM131829577

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