Calculate the net interest income net interest margin and GAP of Bank A
Table 1 presents the balance sheet of Bank A.
i. Calculate the net interest income, net interest margin, and GAP of Bank A.
ii. Assume that there is a parallel shift in rates by +2% (i.e. +200bps). Explain the expected impact of this parallel shift on net interest income and net interest margin given the GAP calculated in part (A.i)
iii. Calculate the new net interest income and net interest margin given a +1% (i.e. 100 bps) parallel shifts in rates.
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