A bank has the following balance sheet:

Assets		Liabilities and Net Worth
Reserves	11.5	Checking Deposits	34.5
Securities	23	Nontransaction Deposits	161
Loans	195.5	Net Worth	34.5
Totals	230		230

All figures in the table are expressed in millions of dollars.

1. Consider a maturity period over which the interest rate on the securities and on the nontransaction deposits is variable whlle the interest rate on the loans is fixed. The bank does not pay interest on checking deposits. Then,

a. Rate-sensitive assets (RSA)=$ m.

b. Rate-sensitive liabilities (RSL)=$ m.

c. RSAAnswer=>

d. GAP=$. m.

e. If interest rate increases from 5% to 6% over the maturity period, the bank's change in net worth is:

Change in net worth=$. m.

2. Suppose that the duration of the bank' s assets is 3 years, while the duration of the bank's liabilities is 1.5 years. For the above change in interest rate, calculate the following:

a. Change in Assets value=$. m.

b. Change in the value of Liabilities=$. m.

c. Change in net worth=$ m.

You may find the following useful.

=1+A=ADAR1+R.

=1+L=LDLR1+R.

=E=AL.