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Bank Management (8th Edition) Chapter 7, Problem 4Q (2 Bookmarks) Show all steps ON Problem...

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Bank Management (8th Edition) Chapter 7, Problem 4Q (2 Bookmarks) Show all steps ON Problem Suppose that your bank buys a T-bill yielding 4 percent that matures in six months and finances the purchase with a three-month time deposit paying 3 percent. The purchase price of the T-bill is $3 million financed with a $3 million deposit. a. Calculate the six-month GAP associated with this transaction. What does this GAP measure indicate about interest rate risk in this transaction? b. Calculate the three-month GAP associated with this transaction. Is this a better GAP measure of the bank's risk? Why or why not

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