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a) What is the repricing (funding) gap over the 0-to-one-year maturity bucket? (Recall that cash is a non-interest earning asset) (3 marks) b) What
a) What is the repricing (funding) gap over the 0-to-one-year maturity bucket? (Recall that cash is a non-interest earning asset) (3 marks) b) What is the incremental and cumulative repricing gap over the one-year to two-year maturity bucket? (3 marks) $ Cash 10 Consider the following balance sheet for ABN AMRO Bank before answering parts (a) through (c). Assets ($ million) Liabilities ($ million) $ 150 Overnight interbank borrowing (7.00%) T-notes 1 month (7.05%) 75 7 year fixed rate Subordinated debt 145 (8.55%) T-notes 3 months (7.25%) 50 T-notes two-year (7.50%) 45 Equity 10 T-notes 10-year (8.96%) 100 Corporate bonds 25 Total assets 305 Total liabilities and Equity 305
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