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Question 2: Consider the following balance sheet for Bankcorp MMC (in $ Millions): (a) Compute the values for the rate-sensitive assets, rate-sensitive liabilities, and repricing
Question 2: Consider the following balance sheet for Bankcorp MMC (in \$ Millions): (a) Compute the values for the rate-sensitive assets, rate-sensitive liabilities, and repricing gap over a one-year and a six-month horizon, i.e. 0 to 1 year period and 0 to 6 months period. (b) Estimate the change in net interest income if the interest rate in both assets and liabilities increases by 1 percentage point over one year. (c) Estimate the (annualized) change in net interest income if the interest rate in assets and liabilities increases by 0.5 percentage points over six months
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