How much based on the duration of liabilities

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Reference no: EM132058784

Use the following information for Bank of Coppell (BOC) for the next three questions:

Duration (Assets) = 5; Duration(Liabilities) = 2; Assets = 200 million; Liabilities = 175 million

The current interest rate is 5%.

1. If the interest rate goes up from 5% to 6%, the market value of assets drops by how much based on the duration of assets?

-$9.52m

-$9.76m

-$10.25m

-$11.57

-$12.29

2. If the interest rate goes up from 5% to 6%, the market value of liabilities drops by how much based on the duration of liabilities?

-$3.33m

-$4.42m

-$4.67m

-$5.23m

-$5.67m

3. If the interest rate goes up from 5% to 6%, the net worth of the bank declines by how much based on the durations of assets and liabilities?

-$4.01m

-$4.21m

-$5.34m

-$6.19m

-$6.34m

Reference no: EM132058784

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