Compute the change in the annual Net Interest Margin, given the following information: Rate sensitive assets (0-1yr): Book value = $50 million; Market value = $60 million Rate sensitive liabilities (0-1yr): Book value $90 million; Market value = $95 million Average earning assets (book value) = 200 million; Average earning assets (mkt value) =$240 million Change in interest rates (expected) increase of 50 basis points O- 0.1% O + 0.1% O +1.0% +0.073% O -0.73%

Compute the change in the annual Net Interest Margin, given the following information: Rate sensitive assets (0-1yr): Book value = $50 million; Market value = $60 million Rate sensitive liabilities (0-1yr): Book value $90 million; Market value = $95 million Average earning assets (book value) = 200 million; Average earning assets (mkt value) =$240 million Change in interest rates (expected) increase of 50 basis points O- 0.1% O + 0.1% O +1.0% +0.073% O -0.73%

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Assume you have the following asset and liability in your Balance Sheet: Asset - Bond A Modified Duration = 2.6 years Value = RM1.5 million Liability - Bond B Modified Duration = 3.1 years Value = RM1.0 million a. Calculate the duration gap. b. What is the expected change in Net Worth if interest increases by 1%? Assume previous interest is 10% c. What should or could you to achieve immunised balance sheet? Note: Please show all workings.
Use factors and a spreadsheet to determine the interest rate per period from the following equation: 0 = -26,000 + 8,000(P/A,i∗,5) + 8,000(P/F,i∗,8) What is the interest rate per period? %
Assume you have the following asset and liability in your Balance Sheet: Asset - Bond A Modified Duration = 2.6 years Value = RM1.5 million Liability - Bond B Modified Duration = 3.1 years Value = RM1.0 million a. Calculate the duration gap. b. What is the expected change in Net Worth if interest increases by 1%? c. What should or could you to achieve immunised balance sheet? Note: Please show all workings.
Question Consider the following balance sheet positions for a financial institution:• Rate-sensitive assets = $120 million; Rate-sensitive liabilities = $180 million.• Rate-sensitive assets = $230 million; Rate-sensitive liabilities = $200 million.a) Calculate the repricing gap and the impact on net interest income of a 2 percent increase in interest rates for each position. b) Calculate the repricing gap and the impact on net interest income of a 2 percent decrease in interest rates for each position.c) Explain the type of risk this FI is exposed to in each position.
Question Consider the following balance sheet positions for a financial institution:• Rate-sensitive assets = $120 million; Rate-sensitive liabilities = $180 million.• Rate-sensitive assets = $230 million; Rate-sensitive liabilities = $200 million.a) Calculate the repricing gap and the impact on net interest income of a 2 percent increase in interest rates for each position. b) Calculate the repricing gap and the impact on net interest income of a 2 percent decrease in interest rates for each position.c) Explain the type of risk this FI is exposed to in each position. Kindly explain in detail
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