Problem 6 (10%): The balance sheet of XYZ Bank appears below. All figures in millions of U.S. dollars. Assets $150 1 Equity capital (fixed) Liabilities Short-term consumer loans (one-year maturity) Long-term consumer loans 1252 1303 1354 Three-month Treasury bills Six-month Treasury notes Three-year Treasury bond 1705 Demand deposits (two-year maturity) Passbook savings Three-month CDs Three-month bankers acceptances Six-month commercial paper One-year time deposits 10-year, fixed- rate mortgages 1206 30-year, 1407 floating-rate mortgages (rate adjusted every nine months) Two-year time deposits $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