) Based on the table below, calculate the duration gap for the bank. (b) Estimate the change in equity in absolute and percentage terms if interest rates move from their current level of 4% up to 5.25%. Instrument Value Duration Cash 70 0 ARM Mortgages 300 0.15 Fixed Rate Mortgages 200 20 Investments in Securities 100 10 Total Assets 570 Deposits 400 0 Loans from other Banks 100 6 Equity 70 ? Total Liabilities and Equity 570
) Based on the table below, calculate the duration gap for the bank. (b) Estimate the change in equity in absolute and percentage terms if interest rates move from their current level of 4% up to 5.25%. Instrument Value Duration Cash 70 0 ARM Mortgages 300 0.15 Fixed Rate Mortgages 200 20 Investments in Securities 100 10 Total Assets 570 Deposits 400 0 Loans from other Banks 100 6 Equity 70 ? Total Liabilities and Equity 570
Chapter7: Types And Costs Of Financial Capital
Section: Chapter Questions
Problem 1bM
Related questions
Question
) Based on the table below, calculate the duration gap for the bank.
(b) Estimate the change in equity in absolute and percentage terms if interest rates move from their current level of 4% up to 5.25%.
|
Instrument |
Value |
Duration |
|
|
|
|
|
Cash |
70 |
0 |
|
ARM Mortgages |
300 |
0.15 |
|
Fixed Rate Mortgages |
200 |
20 |
|
Investments in Securities |
100 |
10 |
|
|
|
|
|
Total Assets |
570 |
|
|
|
|
|
|
|
|
|
|
Deposits |
400 |
0 |
|
Loans from other Banks |
100 |
6 |
|
Equity |
70 |
? |
|
|
|
|
|
Total Liabilities and Equity |
570 |
|
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