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The balance sheet of FIN 4100-601 Bank is listed below. Market yields are in parentheses, and amounts are in millions Liabilities and Equity Assets Cash
The balance sheet of FIN 4100-601 Bank is listed below. Market yields are in parentheses, and amounts are in millions Liabilities and Equity Assets Cash Fed funds (2.05%) 3-month T-bills (3.25%) 8-year T-bonds (6.50%) 5-year munis (7.20%) 7-month C&I loans (4.8%) 2-year C&I loans (4.15%) Fixed-rate mortgages (5.10%) Duration Duration $30 150 200 250 50 200 275 Demand deposits $150 0.02 Savings accounts (0.5%) 0.22 MMDAs (3590) 7.55 (no minimum balance requirement) 4.25 3-month CDs (3.200) 0.55 5-year CDs (5%) 1.65 Fed funds (2%) 1.25 260 175 350 225 4.85 0.02 6- month commercial paper (4.05%) (maturing in 5 months) Fixed-rate mortgages (5.30%) (maturing in 5 years) 0.48 300 Subordinated debt 275 4.45 7-year fixed rate (6.25%) 6.65 100 $1,610 ixed-rate mortgages (5.40%) Total liabilities 355 20 (maturing i 20 years) 18.25 Premises and equipment Total assets Equity Total liabilities and equity $645 255 (1) What is the duraton gap? (2) What is the change in equity value forecasted from the duration values for a predicted increase in interest rates of 0.5 percent
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