Perform a Standard Gap Analysis and a Duration Analysis

Question Description

Perform a Standard Gap Analysis and a Duration Analysis using the data if you have a 2.20% decrease in interest rates and an average duration of assets of 8.2 years and an average duration of liabilities of 3.3 years.

B. Determine the new level of equity capital.

Money Market deposit accts. = $7;

Fixed rate CD’s = $6;

Treasury notes = $8;

Fed Funds lending = $2;

Savings Deposits = $2;

Fixed rate loans = $17;

Discount loans = $1.5;

Reserves = $2.5;

Equity Capital = $7;

Treasury-bills = $9;

Variable rate CD’s = $16;

Fed Funds borrowing = $4;

Demand deposits = $3;

Variable rate mortgage loans = $8