) 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

Entrepreneurial Finance
6th Edition
ISBN:9781337635653
Author:Leach
Publisher:Leach
Chapter7: Types And Costs Of Financial Capital
Section: Chapter Questions
Problem 1bM
icon
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

 

Expert Solution
steps

Step by step

Solved in 2 steps

Blurred answer
Similar questions
  • SEE MORE QUESTIONS
Recommended textbooks for you
Entrepreneurial Finance
Entrepreneurial Finance
Finance
ISBN:
9781337635653
Author:
Leach
Publisher:
Cengage