Calculate maturity gap and changes in net interest income if the expected change in interest rates on instruments with repricing or maturity of up to 2 years is +2% and those up to 5 years is +1.5% Liabilities and Equity $ 20 Overnight REPOS Assets Cash $ 140 1-month T-bills 150 9-month fixed-rate CDs 200 8-year T-notes 15-year fixed-rate corporate bonds 20-year floating-rate mortgages with repricing 300 1-year fixed-rate CDs 250 5-year floating-rate CDs with annual repricing 200 Subordinated debt 7-year fixed rate 250 150 50 every two years 30-year floating-rate mortgages with repricing every six months 80 Equity 210 $1 000 | Total liabilities and equity $1 000 Total assets
Calculate maturity gap and changes in net interest income if the expected change in interest rates on instruments with repricing or maturity of up to 2 years is +2% and those up to 5 years is +1.5% Liabilities and Equity $ 20 Overnight REPOS Assets Cash $ 140 1-month T-bills 150 9-month fixed-rate CDs 200 8-year T-notes 15-year fixed-rate corporate bonds 20-year floating-rate mortgages with repricing 300 1-year fixed-rate CDs 250 5-year floating-rate CDs with annual repricing 200 Subordinated debt 7-year fixed rate 250 150 50 every two years 30-year floating-rate mortgages with repricing every six months 80 Equity 210 $1 000 | Total liabilities and equity $1 000 Total assets
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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![Calculate maturity gap and changes in net interest income if the expected change in
interest rates on instruments with repricing or maturity of up to 2 years is +2% and
those up to 5 years is +1.5%
Liabilities and Equity
$ 20 Overnight REPOS
Assets
Cash
$ 140
1-month T-bills
150 9-month fixed-rate CDs
200
8-year T-notes
15-year fixed-rate corporate bonds
20-year floating-rate mortgages with repricing
300 1-year fixed-rate CDs
250 5-year floating-rate CDs with annual repricing
200 Subordinated debt 7-year fixed rate
250
150
50
every two years
30-year floating-rate mortgages with repricing
every six months
80 Equity
210
$1 000 | Total liabilitles and equity
$1 000
Total assets](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fad6a709a-4194-44dd-b64f-076deb80b9ef%2F5c86a777-d34c-4320-88ba-d7696e957ad7%2Fv138au_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Calculate maturity gap and changes in net interest income if the expected change in
interest rates on instruments with repricing or maturity of up to 2 years is +2% and
those up to 5 years is +1.5%
Liabilities and Equity
$ 20 Overnight REPOS
Assets
Cash
$ 140
1-month T-bills
150 9-month fixed-rate CDs
200
8-year T-notes
15-year fixed-rate corporate bonds
20-year floating-rate mortgages with repricing
300 1-year fixed-rate CDs
250 5-year floating-rate CDs with annual repricing
200 Subordinated debt 7-year fixed rate
250
150
50
every two years
30-year floating-rate mortgages with repricing
every six months
80 Equity
210
$1 000 | Total liabilitles and equity
$1 000
Total assets
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