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The 2 picture are for one questions. Thank You. Title P Subtitle Problem 6 (10%: The balance sheet of XYZ Bank appears below. All figures
The 2 picture are for one questions. Thank You.
Title P Subtitle Problem 6 (10%: The balance sheet of XYZ Bank appears below. All figures in millions of RESSE 5 US dollars. . Assets $1501 Liabilities Short-term consumer loans (one-year maturity) Long-term consumer loans Equity capital (fixed) $120 1252 1303 Three month Treasury bills Six-month Treasury notes Three-year Treasury bond 1354 170 S 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 1407 30-year floating-rate mortgages (rate adjusted every nine months) Two-sear time 401 A AD One-year timewwwwww deposits 120 30-year floating-rate mortgages (rate adjusted every nine months) Two-year time deposits S070 $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 RSA and RSL The expected annual change in net interest income of the bank is? Briefly discuss your resultsStep by Step Solution
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