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b. Duration of Bank's Assets and Liabilities. Gap analysis and Duration gap analysis ? Interest rate rise from 11% to 15% To compute the income
b. Duration of Bank's Assets and Liabilities. Gap analysis and Duration gap analysis ? Interest rate rise from 11% to 15% To compute the income Amount (S milions Durstion CYear) Weighted Duratienear) Cash and Deposits Securities 0.0 0.0000 Less than 1 year 1 to 2 years Greater than 2 years 0.7 1.5 8.5 0.0382 0.0273 .2318 Consumer loans Less than 1 years 1 to 2 years Great than 2 years 0.7 2.0 2.5 0.0 0.3500 0.2727 0.4545 0.0000 15 20 Physical Capital 3745 Average Duration 04 0.1714 Commercial paper Bank loans Less than 1 year 1 to 2 years Greater than 2 years 0.6 1.5 4.0 6.0 0.0286 0.0429 02667 0.5714 .0810 45 Long-term bonds and other long-term debt Average Duration
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