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Please show work on excel so I can follow along A bank has the following balance sheet. Use this balance sheet to answer the following
Please show work on excel so I can follow along
A bank has the following balance sheet. Use this balance sheet to answer the following questions. The current YTM for all maturities is 4.5%. a. What is the duration of the assets and the duration of the liabilities? b. What is the leverage adjusted duration gap? c. If the yield increases by 50 basis points for all maturities, what is the change in the value of equity? d. If instead the yield decreases by 25 basis points for all maturrities, what is the change in the value of equity now? Duration 0 Cash Treasuries Floating loans Mortgages Market value $ 25,000,000 $ 75,000,000 $ 140,000,000 $ 250,000,000 2.45 1 8.5 Core deposits 2-year CDs 5-year CDs Debt Equity $ $ $ $ $ Market value 90,000,000 110,000,000 130,000,000 95,000,000 65,000,000 Duration 0.1 1.9 4.8 6.3 Total $ 490,000,000 Total $ 490,000,000 Current rate Change in interest Change in interest 4.50% 0.50% -0.25%Step by Step Solution
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