QUESTION 4C. INTEREST RATE RISK (6 MARKS) Normanby Bank has the following information. Assets Amount Rate earned Liabilities and Amount Rate paid ($million) per annum Equity ($million) per annum 3-month Treasury 300 5.5% 6-month 520 5% notes certificates of deposit 6-month personal 300 6.5% 2-year term 400 6% loans (fixed rate) deposits (fixed rate) 2-year corporate 150 8.5% 30-year 180 7.5% term loans (fixed subordinated debts rate) (variable rate adjusted quarterly) 30-year mortgage 550 7% Equity 250 loans (variable rate adjusted monthly) Premises (non- 50 earning) Total 1,350 Total 1,350 (0) Calculate the one-year repricing gap (show all workings). (3 marks) (ii) The bank anticipates that in the next 12 months, interest rates on Rate-Sensitive Assets will increase by 50 basis points, and interest rates on Rate-Sensitive Liabilities will increase by 75 basis points. Calculate the expected change in Net Interest Income (show all workings). (3 marks) QUESTION 4C. INTEREST RATE RISK (6 MARKS) Normanby Bank has the following information. Assets Amount Rate earned Liabilities and Amount Rate paid ($million) per annum Equity ($million) per annum 3-month Treasury 300 5.5% 6-month 520 5% notes certificates of deposit 6-month personal 300 6.5% 2-year term 400 6% loans (fixed rate) deposits (fixed rate) 2-year corporate 150 8.5% 30-year 180 7.5% term loans (fixed subordinated debts rate) (variable rate adjusted quarterly) 30-year mortgage 550 7% Equity 250 loans (variable rate adjusted monthly) Premises (non- 50 earning) Total 1,350 Total 1,350 (0) Calculate the one-year repricing gap (show all workings). (3 marks) (ii) The bank anticipates that in the next 12 months, interest rates on Rate-Sensitive Assets will increase by 50 basis points, and interest rates on Rate-Sensitive Liabilities will increase by 75 basis points. Calculate the expected change in Net Interest Income (show all workings)