4b. A bank has assets with a total value of $14.260 billion; $14.170 billion of which are rate sensitive. The bank’s lia...
4b. A bank has assets with a total value of $14.260 billion; $14.170 billion of which are rate sensitive. The bank’s liabilities total $13.905 billion; all are rate sensitive. If the average duration of its asset portfolio is 5.175 years and its liabilities have a 3.105-year average duration, what is the bank’s duration gap?
Homework Answers
Duration gap = Duration of earning asset - Duration of paying liabilities x Paying liabilities/Earning assets = 5.175 - 3.105 x $13.905 billion / $14.170 billion = 2.128
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4b. A bank has assets with a total value of $14.260 billion; $14.170 billion of which are rate sensitive. The bank’s lia...
4c. A bank has assets with a total value of $14.260 billion; $14.170 billion of which...
4c. A bank has assets with a total value of $14.260 billion; $14.170 billion of which are rate sensitive. The bank’s liabilities total $13.905 billion; all are rate sensitive. If the average duration of its asset portfolio is 5.175 years and its liabilities have a 3.105-year average duration. What is the expected dollar change in the value of the bank’s equity if the average interest rate increases from 3.25% to 3.55%?
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