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Question

a)    Calculate the repricing gap and the impact on net interest income of a 1 percent increase in interest

rates for each of the following positions:


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.


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?

Top Answer

1: Repricing gap = RSA-RSL = $200m-$100 m = $100m Net Interest income will increase by 1%*$100m= $1 million 2: Repricing... View the full answer

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