Question

Interest Rate Sensitive Liabilities are $300,000. According to GAP and Sensitivity analysis, If NII decrease by $3.000 caused bv an increase of 3% in Interest Rates is because Interest rate Sensitive Assets are PRESENT YOUR ANSWER ROUNDED TO O DECIMAL PLACES. DON'T USE COMMA SEPARATORS. IF YOUR ANSWER IS A NEGATIVE NUMBER USE THE MINUS (-) SYMBOL. EX IF YOUR ANSWER IS −3,782.80, JUST WRITE - 3783 Respuesta: Respuesta

Answer 1

Change in NII = Change in interest rate * Interest rate sensitive assets * Gap

We are given that the decrease in NII is $3,000 and the interest rate sensitive liabilities are $300,000. However, we are not given the value of the Gap.

To solve for the interest rate sensitive assets, we rearrange the formula:

Interest rate sensitive assets = (Change in NII) / (Change in interest rate * Gap)

Given that the decrease in NII is $3,000 and the interest rate increase is 3%, we can substitute the values into the formula:

Interest rate sensitive assets = ($3,000) / (0.03 * Gap)