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# a)    Calculate the repricing gap and the impact on net interest income of a 1 percent increase in interest

rates for each of the following positions:

Rate-sensitive assets = \$200 million. Rate-sensitive liabilities = \$100 million.

Rate-sensitive assets = \$100 million. Rate-sensitive liabilities = \$150 million.

Rate-sensitive assets = \$150 million. Rate-sensitive liabilities = \$140 million.

b)   Calculate the impact on net interest income on each of the above situations assuming a 1 percent decrease in interest rates.

c)   What conclusion can you draw about the repricing model from these results?

1: Repricing gap = RSA-RSL = \$200m-\$100 m = \$100m Net Interest income will increase by 1%*\$100m= \$1 million 2: Repricing... View the full answer

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