Market Value Rate Duration

Assets

Cash $20 M

90 day T-Bills $75 M 3%

Loans $640 M 11% 14 years

Treasuries $230 M 6% 2.7 years

Repos $27 M 4.9% 0.5 years

Liabilities

Deposits $560 M 1% 0.9 years

Savings Accounts $130 M 3.2% 2.3 years

230 day Repos $75 M 2.1%

Jumbo CDs $117 M 5.6% 4.4 years

Equity $110 M

1. What is the duration gap of this Financial Intermediary?

B.) What is the direction of interest rate exposure (rising or falling interest rates) given the above DGAP?

C.) What is the change in market value of equity if rates rise by 34 basis points?