Question
2. (15 points) XYZ Bank has total asset value of $200 million, and total liability value of $200 million where $20 million is the equity
2. (15 points) XYZ Bank has total asset value of $200 million, and total liability value of $200 million where $20 million is the equity capital. The average duration of the assets is calculated to be 2.5, and the average duration of liabilities is 1.1.
- (2 points) What is the duration gap for XYZ bank? (Round to two decimal places) Show your calculations!
- (3 points) What is the change in the market value of net worth as a percentage of assets (NW/A) if interest rates fall from 6% to 5%? (Round to one decimal place) Show your calculations!
- (4 points) (Round to one decimal place) Show your calculations!
- What is the percentage change in the market value of assets (%A)?
- What is the dollar change in the market value of assets?
- (4 points) (Round to one decimal place) Show your calculations!
- What is the percentage change in the market value of liabilities (%A)?
- What is the dollar change in the market value of liabilities?
- (2) What is the dollar change in the net worth? (Round to one decimal place) Show your calculations!
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
