Question $25$

Assets

Rate

Liabilities

Rate

Floating Rate

Floating Rate

$$535$

$4\mathrm{.}00\%$

$$225$

$2\mathrm{.}90\%$

Fixed Rate

Fixed Rate

$$230$

$5\mathrm{.}2\%$

$$172$

$2\mathrm{.}55\%$

Non$-$earning

Equity

$$250$

$$575$

What is the bank's Repricing Gap value? $5$ pts What is the bank's expectation of interest rate change, based on the GAP

position, and why? $10$ pts

Calculate Net Interest Income $($NII$)15$ pts show all steps

Calculate Net Interest Margin $($NIM$)10$ pts show all steps

If rates down by $62$ basis points, was the bank hedged accurately in anticipation of the rate change $-$ show all calculations

for NII and NIM. $20$ pts

Why or why not? $6$pts

Edit Format Table

$12pt$

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