AutoSave OFF O 2 C ... GAPhomework.Spring2022 (2) - Compatibility Mode Mailings Review View Tell me Home Insert Draw Design Layout References Le Share Comments Arial v 12 vi A Aav X LC v 2 AalbCeDdly Aalb eDd AaBbCcD ABCcDc AaBbCcD haec E Paste Normal BIU ab X B x x Av A No Spacing Heading 1 Heading 2 Title Editor Styles Pane 2. The following is the balance sheet of a bank which uses Duration to manage its interest rate risk: ASSETS LIABS. & EQUITY . 240 Total Liabilities (DUR = 2.9) 280 Total Assets (DUR = 3.8) Total Capital 40 Assume the modified duration of the assets is 3.6 and the modified duration of the liabilities is 2.8. a. Calculate the Duration GAP. b. What interest rate movement is the bank expecting? Explain. C. Calculate the change in Net Worth ( A NW ) for a 0.50% drop in yields. d. Recalculate the ANW for a 0.75% increase in yields. Page 2 of 2 230 words TV English (United States) IKS FOCUS E 100% AutoSave OFF O 2 C ... GAPhomework.Spring2022 (2) - Compatibility Mode Mailings Review View Tell me Home Insert Draw Design Layout References Le Share Comments Arial v 12 vi A Aav X LC v 2 AalbCeDdly Aalb eDd AaBbCcD ABCcDc AaBbCcD haec E Paste Normal BIU ab X B x x Av A No Spacing Heading 1 Heading 2 Title Editor Styles Pane 2. The following is the balance sheet of a bank which uses Duration to manage its interest rate risk: ASSETS LIABS. & EQUITY . 240 Total Liabilities (DUR = 2.9) 280 Total Assets (DUR = 3.8) Total Capital 40 Assume the modified duration of the assets is 3.6 and the modified duration of the liabilities is 2.8. a. Calculate the Duration GAP. b. What interest rate movement is the bank expecting? Explain. C. Calculate the change in Net Worth ( A NW ) for a 0.50% drop in yields. d. Recalculate the ANW for a 0.75% increase in yields. Page 2 of 2 230 words TV English (United States) IKS FOCUS E 100%