Bank 1 2 Assets 3 4 Cash 5 Bonds 6 Commercial Loans 7 Total Assets 9 10 Small Time Deposits 11 Large CD's 12 Transactions Accounts 13 Equity B Market Value 500,000 20,000 0% 105,000 4.00% 375,000 7% 100,000 200,000 150,000 50,000 Rate C 500,000 1.60% 2.30% 1.00% 15 Total Liabilities and Equity 16 17 Calculate the Banks Duration Gap 18 Calculate the Change in the Banks Economic Value of Equity TA D Duration 3 3.5 2 3 0 E F Bank 1-1% increase in rates Assets Cash Bonds Commercial Loans Total Assets Small Time Deposits Large CD's Transactions Accounts Equity Total Liabilities and Equity G Market Value AGPONENT AU 20,000 105,000 375,000 TIMED 500,000 H 500,000 Rate 0% 5.00% 8% NOI 2,60% 3.30% 100,000 200,000 150,000 2.00% 50,000 Calculate the Banks Duration Gap Calculate the Change in the Banks Economic Value of Equity IMPARINGE Duration 3 3.5 2EN 0 K Bank 1-1% decrease in rates Assets Cash Bonds Commercial Loans Total Assets Small Time Deposits Large CD's Transactions Accounts Equity Total Liabilities and Equity ROMED Market Value 20,000 105,000 375,000 500,000 M 500,000 Rate 0% 3.00% 6% 100,000 0.60% 200,000 1.30% 150,000 0,00% 50,000 N Duration Calculate the Banks Duration Gap Calculate the Change in the Banks Economic Value of Equity 3 3.5 2 3 0 O P a

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