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Question 11: Interest Income (15 p。īnts) High ranking General Electric Executive Jack Donaghy presents you with the following balance sheet: Assets Liabilities/Equity $50 Floating-Rate Mortgages (Currently 10% Annually*) 30-Year Fixed Rate Loans (Currently 7% Annually) Demand Deposits 20 $20 $50 $10 $50 1-year Time Deposits (Currently 6% Annually) 1-year CDs (Currently 8% Annually) Equity Total Assets $10 Total Liabilities/Equity $100 *adjustable every year a) Using the cumulative repricing (funding gap) model for one year, what is the expected net interest income for a 2% increase in interest rates? (7 points) b) What will be the net interest income at year-end if interest rates increase 200 basis points on assets, but only 100 basis points on liabilities? (8 points)

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Home nert Page Layout Formulas Data Review View dd-Ins Cut Σ AutoSum ー E ゴWrap Text ta copy. B I 프 . 灬 ▲· 逻锂函Merge & Center. $, % , 弼,8 Conditional Format CeInsert Delete Format Formatting, as Table w styles. ▼ ㆆ ▼ Sort &Find & 2 ClearFe Select Edting Format Painter Clipboard DE64 CV Alignment Number Cells CW CX CY cZ DA DB DC DE DF DG DH DI DJ 46 47 48 49 50 51 52 53 54 ANS a REPRICING GAP RATE SENSITIVE ASSETS- RATE SENSITIVE LIABILITIES EXPECTED NII IF RATE INCREASES BY 2% INTEREST ON RATE SENSITIVE ASSETS 50 X 12%-(20 X 8%)-(50 X 1096) INTEREST ON RATE SENSITIVE LIABILITIES NII- NII = 0.6 ANS b INTEREST RATE INCREASE-2% FOR ASSETS, 1 % FOR LIABILITIES 56 57 58 59 60 61 62 63 64 (4 く トト1 | . AFN | BANKING INTEREST ON RATE SENSITIVE ASSETS 50 X 12%-(20 X 7%)-(50 X 9%) INTEREST ON RATE SENSITIVE LIABILITIES NII- NII = 0.1 NOTE , BIDDING, UNDERWRITING / EUAC AW PM LIFE , LP, lP, MRP, INFLATION YIELD ▽ WARRANTrefund bond , CLEAN INVOICE PRICE . Sheet1 . Sheet3 erences: FX49 06:17 01-02-2019

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