) 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

Entrepreneurial Finance

6th Edition

ISBN:9781337635653

Author:Leach

Publisher:Leach

Chapter7: Types And Costs Of Financial Capital

Section: Chapter Questions

Problem 1bM

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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