Duration in years Amounts in millions Assets EUR Loans and advances to central banks and administrations...
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Duration in years Amounts in millions Assets EUR Loans and advances to central banks and administrations Loans and advances to credit institutions Loans and advances to customers Financial assets held for trading Fixed-income securities 0.4 58,729 427,179 191,608 22,189 194,693 19,419 3 1 2.4 Variable-yield securities Real estate assets and other assets 1.1 7 040 ТОTAL 930,858 Liabilities Duration in years Amounts in millions EUR Amounts owed to central banks Amounts owed to credit institutions 0.4 1.2 46,865 429,565 279,027 77,692 21,840 6,230 14,712 15,914 39,012 930,858 Amounts owed to customers Debts evidenced by certificates Liabilities held for trading 0.8 2.3 0.6 Provisions Subordinated liabilities 1.6 Other liabilities 3. Capital and reserves TOTAL a. The charts above represent the structure of assets and liabilities of the White Bank. What happens when interest rates rise from 6% to 7%? (You must calculate the change in the market value of the assets and liabilities.) b. Based on the information provided determine the duration gap for the White Bank. c. What is the change in the market value of net worth (NW) as a percentage of assets if interest rates rise from 6% to 7%? Duration in years Amounts in millions Assets EUR Loans and advances to central banks and administrations Loans and advances to credit institutions Loans and advances to customers Financial assets held for trading Fixed-income securities 0.4 58,729 427,179 191,608 22,189 194,693 19,419 3 1 2.4 Variable-yield securities Real estate assets and other assets 1.1 7 040 ТОTAL 930,858 Liabilities Duration in years Amounts in millions EUR Amounts owed to central banks Amounts owed to credit institutions 0.4 1.2 46,865 429,565 279,027 77,692 21,840 6,230 14,712 15,914 39,012 930,858 Amounts owed to customers Debts evidenced by certificates Liabilities held for trading 0.8 2.3 0.6 Provisions Subordinated liabilities 1.6 Other liabilities 3. Capital and reserves TOTAL a. The charts above represent the structure of assets and liabilities of the White Bank. What happens when interest rates rise from 6% to 7%? (You must calculate the change in the market value of the assets and liabilities.) b. Based on the information provided determine the duration gap for the White Bank. c. What is the change in the market value of net worth (NW) as a percentage of assets if interest rates rise from 6% to 7%?
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Given interest rates rise from 6 to 7 The total asset value is 930857 million and the total liability value is 891845 million excluding capital a change in market value of Assets Liabilities sensitivi... View the full answer
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Accounting and Auditing Research Tools and Strategies
ISBN: 978-1119441915
9th edition
Authors: Thomas Weirich, Thomas Pearson, Natalie Tatiana
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