Consider the following balance sheet positions for a financial institution:
*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
a .Calculate the repricing gap and the impact on net interest income of a 1percent increase in interest rates for each position.
b. Calculate the impact on net interest income of 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?