Gamma Bank has $300 million in loans and $200 million in deposits.

The change in equity value per 1% change in yield can be calculated using the formula:

ΔE=(Dl×MDl−Dd×MDd)×Δy\Delta E = (D_l \times \text{MD}_l - D_d \times \text{MD}_d) \times \Delta yΔE=(Dl​×MDl​−Dd​×MDd​)×Δy

Where DlD_lDl​ and DdD_dDd​ are the dollar amounts of loans and deposits, respectively, and MDl\text{MD}_lMDl​ and MDd\text{MD}_dMDd​ are their modified durations. For Gamma Bank:

ΔE=(300×2−200×1)×0.01=600−200=400×0.01=−2 million\Delta E = (300 \times 2 - 200 \times 1) \times 0.01 = 600 - 200 = 400 \times 0.01 = -2 \text{ million}ΔE=(300×2−200×1)×0.01=600−200=400×0.01=−2 milli