$43.$ Bank $1$ has $$500$ million of floating rate loans yielding the T$-$bills rate plus $2$ percent. These loans are financed by $$500$ million of fixed$-$rate deposits costing $9$ percent. Bank $2$ has $$500$ million of mortgages with a fixed rate of $13$ percent. They are financed by $$500$ million of CDs with a variable rate of T$-$bills plus $3$ percent.

If the SWAP is feasible then what would be the SWAP benefits Bank $1$ will get from Bank $2$ if Bank $1$ gives all its ROA to Bank $2$ and both banks split the combined spread evenly?

a$.8\%$

b$.9\mathrm{.}5\%$

c$.10\mathrm{.}5\%$

d$.$ None

$44.$ Suppose a $$400$ million bank has an average asset duration of $3$ years and an average liability duration of $1$ year. The bank also has a total debt ratio of $80\%.$ R is $10\%$ and the bank is expecting a $50$ basis point increase in interest rates. The FI can enter into a swap where the duration of the fixed rate payments is $5$ years and the duration of the variable rate payments is $2$ years. What is the optimal notional principle of the swap that immunizes the equity value? Does the FI make or receive the fixed rate payments?

a$.$ $$293\mathrm{.}33$ million

b$.$ $$145\mathrm{.}67$ million

c$.$ $$200$ million

d$.$$$300$ million

$46.$ Suppose a bank with $$160$ million in assets has average asset duration of $4$ years, and an average liability duration of $3$ years. The bank also has a total debt ratio of $90\%.$ If R is $10\%$ and the bank is expecting a $50$ basis points decrease in interest rates, by what percentage equity value change?

a$.5\mathrm{.}91\%$

b$.6\mathrm{.}64\%$

c$.-4\mathrm{.}95\%$

d$.$ one of the above.