*note: book name bank management Question No. 4: Clinton National Bank holds assets and liabilities whose average...
Question:
*note: book name bank management
Question No. 4: Clinton National Bank holds assets and liabilities whose average durations and dollar amounts are shown in this table:
Asset and Liability Items | Average Duration (years) | Dollar Amount (Millions) |
Investment grade bonds | 18 | 600 |
Deposits | 1.4 | 3,200 |
Consumer loans | 6 | 1,200 |
Commercial loans | 3.5 | 4,000 |
Non deposit borrowings | 6 | 200 |
1. What is the weighted-average duration of Clinton banks assets portfolio and liability portfolio? What is its leverage-adjusted duration gap?
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2. DL |
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3. The gap: |
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2. Blue Moon National Bank holds $10 Million in government bonds having a duration of 12 years. If interest rates suddenly fall from 7 percent to 5.5 percent, what percentage change should occur in the bonds market price?
1. p = |
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Advanced Accounting
ISBN: 978-1305084858
12th edition
Authors: Paul M. Fischer, William J. Tayler, Rita H. Cheng