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Chapter%208%20In%20Class%20Exercise

Chapter%208%20In%20Class%20Exercise - FIN 4620 Chapter 8...

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FIN 4620 Chapter 8 - Interest Rate Risk I In-Class Exercises Row CGAP ∆ in Rates ∆ in NII ∆ in Int Rev ∆ in Int Exp 1 Positive > 2 Positive > 3 Negative < 4 Negative < 1. If interest rates decrease 50 basis points (.5%, or .005) for an FI that has a gap of $5 million, the expected change in net interest income is… 2. If interest rates increase 75 basis points for an FI that has a gap of -$15 million, the expected change in net interest income is… 3. If interest rates decrease 40 basis points for an FI that has a cumulative gap of - $25 million, the expected change in net interest income is… 8-1
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Refer the following bank balance sheet for questions 4-9 (millions): Assets Liabilities 1. Short-term consumer loans $150 1. Equity capital (fixed) $120 (one year maturity) 2. Long-term consumer loans 125 2. Demand deposits 40 (two-year maturity) 3. Three-month Treasury bills 130 3. Passbook savings 130 4. Six-month Treasury notes 135 4. Three-month CDs 140 5. Three-year Treasury bonds 170 5. Three-month Bankers Acceptances
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