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Question
A bank has DA = 2.4 years and DL= 0.9 years. The bank has total equity of $82 million and total assets of $850 million. Interest rates are at 6%.A bank has an average asset duration of 2.25 years, the average duration of the liabilities is 1.25 years, and the bank has total assets of $2 billion and $200 million in equity. The bank has an ROE of 9.00%. If all interest rates decrease 50 basis points, the predicted change in the bank's market value of equity is ___________.
A. -2.85%
B. -3.55%
C. 3.55%
D. 2.85%
E. 5.16%
Answer
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