A bank has the following asset and liability portfolios. What is the gap ratio? Rate-sensitive
Amount
Rate-sensitive
Amount
Assets
(in millions)
Liabilities
(in millions)
Floating-rate
Loans
$4,000
NOW accounts
$1,750
Floating-rate
Mortgages
1,000
MMDAs
4,500
Short-term
Treasury securities
1,500
Short-term CDs
1,000
$6,500
$7,250

Question

Quizplus · Accepted Answer

The gap ratio is calculated as rate-sensitive assets divided by rate-sensitive liabilities. Here, it is $6,500 million / $7,250 million = 0.896.

A Bank Has the Following Asset and Liability Portfolios