Business, 08.05.2021 04:00 carterlewis02

ASSETS RETURN MILLION$ LIABILITIES AND EQUITY COST MILLION$ cash 0.00% $35 fixed-rate deposits 3.50% $240
investments(<1year) 4.00% $200 rate-sensitive deposits 2.00% $260
short-term loans(<1 year)6.00% $225 fed fund borrovigs 2.50% $25
long-term fixed rate loans (maturity>1 year) 6.75% $250 long-term borrowing fixed rate(maturity>1year) 5.50% $119
Total $710 equity $66
total $710
A bank has the following balance sheet:
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.

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ASSETS RETURN MILLION$ LIABILITIES AND EQUITY COST MILLION$ cash 0.00% $35 fixed-rate deposits 3.5...

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