Assets
ASSETS LIABILITIES
cash assets $10M Demand deposit $10M
Short term investment 20M (D=0.25 years) Interest bearing deposits maturing in less than 1 year $5M
Long Term investment $5M (D=0.4years)
(D=4 years) Interest bearing deposits maturing in more than 1 year $25M
Loans maturing in less than 1 year $15M (D=8.5 years)
(D=0.3 years) Borrowed funds (D=0.25years) $5M
Loans maturing in more than 1 year $10 M Equity Capital $15M
What is the Maturiy Gap and Duration Gap for this balance sheet?
What will happen to the value of the equity for this bank if interest rates go down by 50 baisis points (Assume the original yield was 5%)
(D=5 years)
