Question
Assuming the following balance sheet as of the end of the Bank's fiscal year, what is the Bank's duration gap? ASSETS ($1,000,000s) AVG DURATION LIABILITIES($1,000,000s)
Assuming the following balance sheet as of the end of the Bank's fiscal year, what is the Bank's duration gap?
ASSETS ($1,000,000s) AVG DURATION LIABILITIES($1,000,000s) AVG DURATION
Cash 100 0 Deposits 2000 1.5
T-Bills and Bonds 350 3 Long-term Debt 1000 15
Loans 1725 6 Equity 500
Mortgages 1325
TOTAL 3500 TOTAL3500
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Financial Management Concepts and Applications
Authors: Stephen Foerster
1st edition
013293664X, 978-0132936644
