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(Repricing gaps) Consider a financial institution with the following Balance Sheet (amounts are in million; market yields are in parenthesis) (a) What are x,y and
(Repricing gaps) Consider a financial institution with the following Balance Sheet (amounts are in million; market yields are in parenthesis) (a) What are x,y and z ? (b) What are the cumulative repricing gaps for 1 month (CGAP1-month),3 months (CGAP3-month),1 year (CGAP1-year), and 2 years (CGAP2-year) ? (c) What is the impact over the next three months on the net interest income if interest rates on RSAs and RSLs both decrease by 40 basis points (i.e. 0.4%) ? (d) What is the impact over the next two years on the net interest income if interest rate on RSAs increases by 30 basis points and interest rate on RSLs increases by 50 basis points
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