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  3. the balance sheet of xyz bank appears below. all f

The balance sheet of XYZ Bank appears below. All figures in millions of U.S. dollars....

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Accounting

The balance sheet of XYZ Bank appears below. All figures in millions of U.S. dollars.

Assets Liabilities
1 Short-term consumer loans (one-year maturity) $150 1 Equity capital (fixed) $120
2 Long-term consumer loans 125 2 Demand deposits (two-year maturity) 40
3 Three-month Treasury bills 130 3 Passbook savings 130
4 Six-month Treasury notes 135 4 Three-month CDs 140
5 Three-year Treasury bond 170 5 Three-month bankers acceptances 120
6 10-year, fixed-rate mortgages 120 6 Six-month commercial paper 160
7 30-year, floating-rate mortgages (rate adjusted every nine months) 7 One-year time deposits 120
8 Two-year time deposits 40
$970 $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.

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