Consider a bank with the following data: Interest sensitive assets = $250 million Interest sensitive liabilities =
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Question:
- Consider a bank with the following data:
- Interest sensitive assets = $250 million
- Interest sensitive liabilities = $300 million
- Calculate the IS-GAP, Relative IS-GAP, and IS Ratio of the firm
- Comment on whether the bank has a positive or negative gap and is asset or liability sensitive. Why?
- What happens to the net interest margin (NIM) of this bank when interest rates increase?
- If the ALM team intentionally takes this position, what do you think their expectations are concerning the market rates? Explain explicitly.
Related Book For
Money Banking and Financial Markets
ISBN: 978-0078021749
4th edition
Authors: Stephen Cecchetti, Kermit Schoenholtz
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