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% (additional information inside the table)
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% (additional information inside the table)
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%
(additional information inside the table)
Transcribed Image Text:Assets
Liabilities and Equity
Cash
20 Overnight REPOS
$ 140
1-month T-bills
150 9-month fixed-rate CDs
200
300 1-year fixed-rate CDs
250 5-year floating-rate CDs with annual repricing
200 Subordinated debt 7-year fixed rate
8-year T-notes
250
15-year fixed-rate corporate bonds
20-year floating-rate mortgages with repricing
150
50
every two years
30-year floating-rate mortgages with repricing
every six months
80 Equity
210
Total assets
$1 000
Total liabilities and equity
$1 000
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