The following information details the current rate sensitivity report for Gotbucks Bank, Inc. ($ million).

-Calculate the funding gap for Gotbucks Bank using (a)a 30 day maturity period and (b)a 91 day maturity period.
A)-$25 and +$80.
B)-$50 and -$75.
C)-$75 and +$5.
D)+$55 and -$40.

Question

The following information details the current rate sensitivity report for Gotbucks Bank, Inc. ($ million).

-Calculate the funding gap for Gotbucks Bank using (a)a 30 day maturity period and (b)a 91 day maturity period.
A)-$25 and +$80. 
B)-$50 and -$75. 
C)-$75 and +$5. 
D)+$55 and -$40.

Quizplus · Accepted Answer

30-day maturity bucket and 91-day maturity bucket
 RSA(30) = Fed Funds + overnight loan bucket + 30-day loan bucket
 RSL(30) = Fed Funds + overnight Euro CD bucket + 30 day Euro CD bucket
 RSA(30) = (20 + 0 + 10) = $30
 RSL(30) = (50 + 5 + 25) = $80
 GAP(30) = 30 - 80 = -$50
 RSA(91) = Fed Funds + overnight loan bucket + 30-day loan bucket + 91-day loan bucket
 RSL(91) = Fed Funds + overnight Euro CD bucket + 30-day Euro CD bucket + 91-day Euro CD bucket
 RSA(91) = (20 + 0 + 10 + 15) = $45
 RSL(91) = (50 + 5 + 25 + 40) = $120
 GAP(91) = 45 - 120 = -$75
 Answer is -$50 and -$75.

The Following Information Details the Current Rate Sensitivity Report for Gotbucks