Given the following information Rate sensitive assets = $16.14m Non rate sensitive assets = $50.66m Rate sensitive liabilities = $24.75m Non rate sensitive liabilities = $32.96m Equity Capital = $9.09m.
A. Perform a Standard Gap Analysis and a Duration Analysis using the above data if you have a 1.45% increase in interest rates and an average duration of assets of 6.6 years and an average duration of liabilities of 2.7 years.
B. Determine the new level of equity capital.