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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.

  1. (2 points) What is the duration gap for XYZ bank? (Round to two decimal places) Show your calculations!

  1. (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!

  1. (4 points) (Round to one decimal place) Show your calculations!

  1. What is the percentage change in the market value of assets (%A)?

  1. What is the dollar change in the market value of assets?

  1. (4 points) (Round to one decimal place) Show your calculations!

  1. What is the percentage change in the market value of liabilities (%A)?

  1. What is the dollar change in the market value of liabilities?

  1. (2) What is the dollar change in the net worth? (Round to one decimal place) Show your calculations!

 
 

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