Answer:
$1,140,000
Explanation:
Calculation to determine what the bank's NII will change by
First step is to calculate the bank's one-year repricing gap
Using this formula
Repricing gap=RSAs - RSLs
Where,
RSAs =Securities+Short-term loans
RSLs =Variable-rate Deposits+Fed funds
Let plug in the formula
($ Million)
Repricing gap=[$300 + $225] - [$260 + $75]
Repricing gap=$190
Now let calculate what the bank's NII will change by
Using this formula
Change in bank's NII=Repricing gap*Interest rates
Let plug in the formula
Change in bank's NII=$190,000,000*0.0060
Change in bank's NII =$1,140,000
Therefore If the spread effect is zero and all interest rates increase 60 basis points, the bank's NII will change by $1,140,000
