Chapter 24 Swaps 797 15. Bank A has the following balance sheet information (in millions): Assets Liabilities and Equity Rate-sensitive assets Fixed-rate assets $ 50 150 Rate-sensitive liabilities Fixed-rate liabilities Net worth Total liabilities and equity $ 75 100 25 $200 Total assets $200 Rate-sensitive assets are repriced quarterly at the 91-day Treasury bill rate plus 150 basis points. Fixed-rate assets have five years until maturity and are paying 9 percent annually. Rate-sensitive liabilities are repriced quarterly at the 91-day Treasury bill rate plus 100 basis points. Fixed-rate liabilities have two years until maturity and are paying 7 percent annually. Currently, the 91-day Treasury bill rate is 6.25 percent. a. What is the bank's current net interest income? If Treasury bill rates increase 150 basis points, what will be the change in the bank's net interest income? b. What is the bank's repricing or funding gap? Use the repricing model to cal- culate the change in the bank's net interest income if interest rates increase 150 basis points. c. How can swaps be used as an interest rate hedge in this example