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Use the balance sheet of a bank below to answer the following. The duration of asset is 2.5 years, the duration of liabilities 1


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Use the balance sheet of a bank below to answer the following. The duration of asset is 2.5 years, the duration of liabilities 1 year. Liabilities Assets Reserves 10 m T-bills 30 m Money Market Deposits 90 m Capital 10 m Mortgages 50 m Commercial Loans 10 m A. What is the amount of RSA and RSL? RSA: RSL: B. What is the income gap amount? C. What is the duration gap? D. What happens to this bank's income if the interest rises by 1%? E. What happens when the interest rises by 1% to this bank's a. Asset value b. Liability value c. net worth F. What type of financial institution is it?

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A The amount of RSA RateSensitive Assets and RSL RateSensitive Liabilities can be calculated as foll... blur-text-image

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