A bank has Federal funds totaling $25 million with an interest rate sensitivity weight of 1.0. This bank also has loans of $105 million and investments of $65 million with interest rate sensitivity weights of 1.40 and 1.15 respectively. This bank also has $135 million in interest-bearing deposits with an interest rate sensitivity weight of 0.90 and other money market borrowings of $75 million with an interest rate sensitivity weight of 1.0. What is the weighted interest-sensitive gap for this bank?

Question

Quizplus · Accepted Answer

The weighted interest-sensitive gap is calculated as follows:(Interest rate sensitivity weight of Federal funds * Federal funds) + (Interest rate sensitivity weight of loans * Loans) + (Interest rate sensitivity weight of investments * Investments) - (Interest rate sensitivity weight of interest-bearing deposits * Interest-bearing deposits) - (Interest rate sensitivity weight of other money market borrowings * Other money market borrowings)= (1.0 * $25 million) + (1.40 * $105 million) + (1.15 * $65 million) - (0.90 * $135 million) - (1.0 * $75 million)= $25 million + $147 million + $74.75 million - $121.5 million - $75 million= $50.25 million

A Bank Has Federal Funds Totaling $25 Million with an Interest