Aot 18 It is given Bank XYZ having the following balance sheet: Assets ($ billion) Liab...

 

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Aot 18 It is given Bank XYZ having the following balance sheet: Assets ($ billion) Liab & Equity (S billion) Cash 20 Deposits 200 M/S 40 Long-term-debt 10 Loans 160 Fixed assets 10 Equity capital 20 Total assets 230 Total L&E 230 The bank manager estimates that the bank's Mac DA = 4.5 years and Mac D. = 35 years. The bank would like to restrict its maximum equity exposure to $ 3,5 B and the current interest rate is 9%. Based on all the above given information, the maximum increase in interest rate without going over the set equity exposure is: O 1.17 % O 1.27 % O 1.47 % O 1.67 % O 184 % If the market interest rate goes up only by 50% of your calculated value above, the market value of the bank's total assets and total liabilities wif O$ 202 B and 185 B O $ 204 B and 206 B O$ 214 B and 206 B O $ 224 B and 206 B ch 11 Aot 18 It is given Bank XYZ having the following balance sheet: Assets ($ billion) Liab & Equity (S billion) Cash 20 Deposits 200 M/S 40 Long-term-debt 10 Loans 160 Fixed assets 10 Equity capital 20 Total assets 230 Total L&E 230 The bank manager estimates that the bank's Mac DA = 4.5 years and Mac D. = 35 years. The bank would like to restrict its maximum equity exposure to $ 3,5 B and the current interest rate is 9%. Based on all the above given information, the maximum increase in interest rate without going over the set equity exposure is: O 1.17 % O 1.27 % O 1.47 % O 1.67 % O 184 % If the market interest rate goes up only by 50% of your calculated value above, the market value of the bank's total assets and total liabilities wif O$ 202 B and 185 B O $ 204 B and 206 B O$ 214 B and 206 B O $ 224 B and 206 B ch 11

Answer rating: 100% (QA)

First Duration gap D A LA x D L 45 210230 x 35 13043 EA Duration gap x i1 i Or 3523... View the full answer