Question

Use the following table to answer the remaining questions. Assets Amount ($M) Rate Liabilities & Equity Amount ($M) Rate Rate Sensitive 600 3% Rate Sensitive 400 1% Fixed Rate 150 4% Fixed Rate 280 2% Nonearning 50 Nonpaying liabilities & equity 120 Total 800 Total 800

1.) What is the bank’s GAP?

A.) -130

B.) 0

C.) 200

2.) What is the bank’s expected NII if interest rates and portfolio composition remain constant during the year?

A.) 14.0

B.) 14.4

C.) 16

D.) 16.4

3.) This bank is positioned to profit if rates decrease.

A.) True

B.) False

Answer 1

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BOND - Microsoft Excel (Product Activation Failed) Add-Ins Review View - 2x = = Wrap Text General File Home Insert Page Layout Formulas Data % Cut Calibri 11 AA = Ea Copy Paste BIU - DA E Format Painter Clipboard Font E E s FaMerge Center % 4.0 .00 Insert Delete Format Conditional Format Cell Formatting as Table Styles Styles Σ AutoSum : A Fill Sort & 2 Clear Filter Editing Find & Select Alignment Number Cells HN99 HN HO HP HQ HR HS HT HU HV HW HX HY 1 85 86 87 88 GAP = RATE SENSITIVE ASSETS - RATE SENSITIVE LIABILITIES 89 ANS:C: GAP = 600 - 400 = 200 90 91 2 EXPECTED NII = (600 X 3% ) + (150 X 4%) - (400 X 1%) - (280 X 2%) 92 ANS:B: EXPECTED NII = 14.4 93 94 3 95 ANS:B: AS GAP IS POSITIVE, DECREASE IN RATE WILL DECREASE PROFITS FALSE 96 97 98 99 100 101 102 103 AFN BANKING NOTE 51 53 CLEAN PRICE 510 BIDDING, UNDERWRITING EUAC AW LIFELP, IP, MRP, INFLATION WARRANT refund I YIELD SPOT Sheet2 ferences: FX50 54 55 56 I BOU 130% Rea -_ 0