4) A bank has rate-sensitive assets of $12 million and rate-sensitive liabilities of $10 million

Finance Jan 13, 2022

4) A bank has rate-sensitive assets of $12 million and rate-sensitive liabilities of $10 million. What is it's $GAP? Will the bank's net interest income/margin go up or down if interest rates go up? (2.00 points)

5. Suppose a bank has RSA of $150m and RSL of $140m. If interest rates rise by 1 percent on RSAs and by 1.3 percent on RSLs, what would be the expected annual change in net interest income (ANII) based on $GAP? Show your work. (1.50 points)