FIN425ARes012.doc - Chapter Eight Interest Rate Risk I Solutions for End-of-Chapter Questions and Problems Chapter Eight 8 Consider the following

FIN425ARes012.doc - Chapter Eight Interest Rate Risk I...

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Chapter Eight Interest Rate Risk I Solutions for End-of-Chapter Questions and Problems: Chapter Eight 8.Consider the following balance sheet positions for a depository institution: Rate-sensitive assets = $200 million. Rate-sensitive liabilities = $100 millionRate-sensitive assets = $100 million. Rate-sensitive liabilities = $150 millionRate-sensitive assets = $150 million. Rate-sensitive liabilities = $140 milliona. Calculate the repricing gap and the impact on net interest income of a 1 percent increase in interest rates for each position. b.Calculate the impact on net interest income on each of the above situations assuming a 1 percent decrease in interest rates. c.What conclusion can you draw about the repricing model from these results? 8-1
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11.Which of the following assets or liabilities fit the one-year rate or repricing sensitivity test? 13. A bank manager is quite certain that interest rates are going to fall within the next six months, but the fall will be different on RSAs versus RSLs. How should the bank manager adjust the bank’s six-month repricing gap and spread to take advantage of thisanticipated rise? What if the manger believed rates would rise in the next six months.
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