Question

2. Given the following information             Rate sensitive assets = $16.14m                 Non rate sensi

2. Given the following information

            Rate sensitive assets = $16.14m                 Non rate sensitive assets = $50.66m

            Rate sensitive liabilities = $24.75m             Non rate sensitive liabilities = $32.96m

              Equity Capital = $9.09m

A. Perform a Standard Gap Analysis and a Duration Analysis using the above data if you have a 1.45% increase in

     interest rates and an average duration of assets of 6.6 years and an average duration of liabilities of 2.7 years.

B. Determine the new level of equity capital.

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Answer #1

Answer sensetive Assets calculate & Liabilities. Liabilities/ Amount Assets Amount I / 24.75. sensetitive 16, 14. Rate Rate Sdecrease associate with an interest revenue liabilities forom assets with decrease of bank. Duration Gap - Duration period a,b .ک8ماهر Under gap analy rate sensitive when positions the ass et optimum = Rate od sensetive. The rate sensitive anets nee

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