7 30-year, floating-rate mortgages (rate adjusted every nine months)
7 One-year time deposits 120
8 Two-year time deposits 40
$970
$970
a. What is the one-year rate-sensitive assets?
b. What is the one-year rate-sensitive liabilities?
c. What is the cumulative one-year repricing gap (CGAP) for the bank? d. What is the gap ratio?
e. Suppose that interest rates rise by 2 percent on both RSAs and RSLs. The expected annual change in net interest income of the bank is? Briefly discuss your results.
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