Assume that interest rates for all maturities are the same. From the information given in the below balance sheet of a c

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Assume That Interest Rates For All Maturities Are The Same From The Information Given In The Below Balance Sheet Of A C 1 (42.84 KiB) Viewed 57 times

Assume that interest rates for all maturities are the same. From the information given in the below balance sheet of a commercial bank, when interest rate rises from the current 10% to 13%, estimate the changes in the net worth of the bank (in million). Using duration gap analysis (Please note that no need to write the unit 'million' in the answer, suppose you get an answer 10 million, then you need to write 10, not 10 million or 10,000,000) (Need to write down all the steps in your estimate. Please note that just writing the final answer will not fetch any marks) Assets Amount (in million) Duration(years) Liabilities Amount (in million) Duration (years) Reserves 15 0 Checkable deposits 20 2 Securities 23 6 Savings deposits 17 0.5 Residential mortgages 20 3.25 Certificate of Deposits (CDs) 30 0.6 Commercial loans Borrowings Less than 1 year 15 0.7 Less than 1 year 10 0.6 Greater than 1 year 35 3.4 Greater than 1 year 20 2.3