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(c) Assets Liabilities Reserves $1,500,000 315,000,000 Securities Checicable deposits Money market deposits Savings accounts $5,500,000 $8,000,000 2 years Residential mortgages 322,000,000 2 years Commercial loans Federal funds $5,000,000 2 years 1 to 2 years $3,000,000 $2,000,000 Buildings, etc. > 2 years Bank capital 35,000,000 Using the statement above, calculate (1) weighted duration for each item (ii) average duration (ii) Duration gap (iv) Net-worth. Suppose interest rate changes from 7% to 7.5%. Duration of each item is as below; (Marks 04) Assets Duration Liabilities Duration 0.0 Checkable deposits 2.5 0.5 0.1 1.9 2.0 8.0 0.5 Money market deposits Savings accounts CDs variable rate CDs 2 years 0.7 Reserves Securities 2 years Residential mortgages variable Residential mortgages fixed Commercial loans 2 years Building, etc. 0.4 7.0 1.5 0.5 2.9 1.6 Fed funds 0.0 5.0 0.3 0.0 Borrowings 2 years 1.5 2.9 Bank capital 0.0 (c) Assets Liabilities Reserves $1,500,000 315,000,000 Securities Checicable deposits Money market deposits Savings accounts $5,500,000 $8,000,000 2 years Residential mortgages 322,000,000 2 years Commercial loans Federal funds $5,000,000 2 years 1 to 2 years $3,000,000 $2,000,000 Buildings, etc. > 2 years Bank capital 35,000,000 Using the statement above, calculate (1) weighted duration for each item (ii) average duration (ii) Duration gap (iv) Net-worth. Suppose interest rate changes from 7% to 7.5%. Duration of each item is as below; (Marks 04) Assets Duration Liabilities Duration 0.0 Checkable deposits 2.5 0.5 0.1 1.9 2.0 8.0 0.5 Money market deposits Savings accounts CDs variable rate CDs 2 years 0.7 Reserves Securities 2 years Residential mortgages variable Residential mortgages fixed Commercial loans 2 years Building, etc. 0.4 7.0 1.5 0.5 2.9 1.6 Fed funds 0.0 5.0 0.3 0.0 Borrowings 2 years 1.5 2.9 Bank capital 0.0

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