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2. The First Bank has rate sensitive assets of $130 million and rate sensitive liability of $150 million. What is income gap of the bank?

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2. The First Bank has rate sensitive assets of $130 million and rate sensitive liability of $150 million. What is income gap of the bank? What is bank's income change if market interest rate drops from 1% to 5%? 3. Bank X's total assets is $150 million with a duration of 6 years, and its liabilities is $130 million with a duration of 3 years. a) What is duration gap of the bank? b) If interest rate decrease from current level of 3% to 2%, how much bank's net worth changes in $? HTML Editor

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