The balance sheet of ARGH Insurance shows the following fixed and rate sensitive assets and liabilities. What is the repricing gap for the FI?

Question

The balance sheet of ARGH Insurance shows the following fixed and rate sensitive assets and liabilities.  What is the repricing gap for the FI?

Quizplus · Accepted Answer

The repricing gap is calculated by subtracting the rate sensitive liabilities from the rate sensitive assets. In this case, the rate sensitive assets include fixed rate investments of $15,000,000 and adjustable rate mortgages of $10,000,000, totaling $25,000,000. The rate sensitive liabilities include fixed rate deposits of $10,000,000 and short-term borrowings of $20,000,000, totaling $30,000,000. Therefore, the repricing gap is $25,000,000 - $30,000,000 = -$5,000,000, indicating that the FI is more liability sensitive than asset sensitive.

The Balance Sheet of ARGH Insurance Shows the Following Fixed