Calculating expected net interest income
Consider the following balance sheet
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ASSETS LIABILTIES
Floating-rate mortgages 75 6 month deposits 115
30 year fixed rate mtgs 125 5 year deposits 20
Equity 65
TOTAL 200 200
What is the expected net interest income over the next year?
Using the one year cumulative repricing gap model, what is expected net interest income for a 2% increase in rates?
