nedd answer for 2,3,4 and 5
Cash $200 historical avg. maturity = 4 years; historical average duration 3.5 years $20 Deposits T-Bills 30 days (4.5 percent, par) $50 Certificates of Deposit avg. maturity = 6 months; avg. duration 6 months $140 T-Bilis 91 days (5.0 percent, par) $90 Short-term Debt avg. maturity = 5 years $200 Commercial Loans avg. maturity 9.0 years, avg. duration=7.5 years $300 Long-term debt avg, maturity = 15 years, average duration 12 years $200 Consumer Loans avg. maturity = 6,0 years, avg. duration - 4.0 years $200 Equity $120 Mortgage Loans - Foredrate avg. maturity 30 years, avg. duration 15 years $150 Mortgage Loans Adjustable avg. maturity = 30 years, interest rate reset - 6 months $50 Total Assets: $860 Total Liabilities & Equity $860 Question #1 The short-term debt (note the liabilities) consists of 5 year bonds paying an annual coupon of 4 percent and selling at par. What is the duration of the short-term debt? Question 2 What is the weighted average duration of the assets of the FI? Duration Prop. Proportion Term Amount $20 $50 $90 $300 Assets Cash 30-day T-bills 91-day T-bills Commercial loans Consumer loans Mort. Fixed ARMS Total $200 $150 $50 Weighted Average Duration $860 Question #3 What is the weighted average duration of the liabilities of the FI? Duration Prop. Duration years Amount Proportion Liabilities Deposits CDs S. T. Debt L. T. Debt Total $740 Weighted Average Duration Question #4 What is the leverage-adjusted duration gap of the FI? DA-D (L/A) = Question #5 How do we immunize against interest rate changes by restructuring our liabilities? Cash $200 historical avg. maturity = 4 years; historical average duration 3.5 years $20 Deposits T-Bills 30 days (4.5 percent, par) $50 Certificates of Deposit avg. maturity = 6 months; avg. duration 6 months $140 T-Bilis 91 days (5.0 percent, par) $90 Short-term Debt avg. maturity = 5 years $200 Commercial Loans avg. maturity 9.0 years, avg. duration=7.5 years $300 Long-term debt avg, maturity = 15 years, average duration 12 years $200 Consumer Loans avg. maturity = 6,0 years, avg. duration - 4.0 years $200 Equity $120 Mortgage Loans - Foredrate avg. maturity 30 years, avg. duration 15 years $150 Mortgage Loans Adjustable avg. maturity = 30 years, interest rate reset - 6 months $50 Total Assets: $860 Total Liabilities & Equity $860 Question #1 The short-term debt (note the liabilities) consists of 5 year bonds paying an annual coupon of 4 percent and selling at par. What is the duration of the short-term debt? Question 2 What is the weighted average duration of the assets of the FI? Duration Prop. Proportion Term Amount $20 $50 $90 $300 Assets Cash 30-day T-bills 91-day T-bills Commercial loans Consumer loans Mort. Fixed ARMS Total $200 $150 $50 Weighted Average Duration $860 Question #3 What is the weighted average duration of the liabilities of the FI? Duration Prop. Duration years Amount Proportion Liabilities Deposits CDs S. T. Debt L. T. Debt Total $740 Weighted Average Duration Question #4 What is the leverage-adjusted duration gap of the FI? DA-D (L/A) = Question #5 How do we immunize against interest rate changes by restructuring our liabilities
