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Bank A has the following balance sheet information
Chapter 2" 5W” 797 15. Bank A has the following balance sheet information (in millionS) W Liabilities and Equityx ________________________._Rate-Sensitive assets 3 50 Rate-sensitive liabilities S 75F’XEd-rate assets 150 Fixed-rate liabilities 100__ Net worth 25$200 TOW assets $200 Total liabilities and equity V— Rate-sensitive assets are repn’ced quarterly at the 91-day TreaSwY bf" r are Plus 150basis points. Fixed-rate assets have five years until maturity and are paying 9 percentannually. Ratesensitive liabilities are repriced quarterly 3‘ the qlday Treasury billrate plus 100 basis points. Fixed-rate liabilities have two years until maturity and are paying 7 percent annually. Currently, the 91-day Treasury b1“ r ate is 6’25 percent— a. What is the bank’s current net interest income? if Treasury bi“ rates increase150 basis points, what will be the change in the bank’s net inter?“ income? b. What is the bank’s repricing or funding gap? Use the repricing model to cal-culate the change in the bank’s net interest income if interest rates increase 150 basis points.Get business finance assignment homework help today
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