Design an interest rate swap

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You are a manager at OakReach Bank in charge of interest rate risk. Your team has computed the 1-year repricing GAP to be -600 million AUD (negative GAP). For the purpose of this situation we are not taking into account other GAP timeframes.

Your chief economist anticipates continuing inflation pressure into 2022, which they predict will force the RBA's hand to increase benchmark interest rates. Assume your chief economist is correct in their prediction. Design an interest rate swap such that changes in interest rates have no impact on your bank's change in net income.

Reference no: EM133062147

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