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ANSWER 1:
Using the cumulative re-pricing model, the re-pricing gap for 1 year and 3 year is given as follows:
A: For 1 year:
1 year Repricing Gap = Rate Sensitive Assets – Rate Sensitive Liabilities
= ($50 + $730 + $220) – ($205 + $150 + $350 + $520 + $200)
= $1000 - $1425
= -$425 million
3 year Repricing Gap = Rate Sensitive Assets – Rate Sensitive Liabilities
= ($50 + $100 + $90 + $730 + $220) – ($205 + $150 + $350 + $520 + $200)
= $1190 - $1425
= -$235 million
ANSWER 2:
For finding the impact on net interest income for 6 months planning, we need to calculate rate sensitive assets and rate sensitive liabilities for the 6 months.
RSA = $50
RSL = $205 + $150 + $350 + $520 + $200= $1425
ΔInterest Income = $50 (-0.003) = -$0.15 million
ΔInterest Expense = $1425 (0.005) = $7.125
ΔNet Interest Income = -$0.15 - $7.125 = -$6.975 million
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