Answer:- -$95 million for 30days, -$20 million for 3 months, +$55 million for 2 years.
Explanation:
Repricing gap using a 30-day planning period, we have;
$75 - $170 = -$95 million.
Repricing gap using a 3-month planning period, we have;
($75 + $75) - $170 = -$20 million.
Reprising gap using a 2-year planning period, we have;
($75 + $75 + $50 + $25) - $170 = +$55 million.
b) the impact over the next 30 days on net interest income vary. Let us use i) when net income increases by 50 basis points.
ii) when net income decreases by 75 basis points.
if impact over the next 30 days on net interest income increases by 50 basis points, we would have that net interest income will decrease by $475,000, see below:
ΔNII = CGAP(ΔR) = -$95m.(0.005) = -$0.475m
If impact over the next 30 days on net interest income decrease by 75 basis points, net interest income will increase by $712,500. This is because:
ΔNII = CGAP(ΔR) = -$95m.(-0.0075) = $0.7125m
