Question #2 What is the weighted average duration of the assets of the FI? Term Assets Cash Amount $20 Proportion Duration Prop. $50 $90 $300 30-day T-bills 91-day T-bills Commercial loans Consumer loans Mort. Fixed ARMS Total $200 $150 $SO $860 Weighted Average Duration Question #3 What is the weighted average duration of the liabilities of the FI? Duration years Amount Proportion Duration Prop. 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 I How do we immunize against interest rate changes by restructuring our liabilities? Cash $20 Deposits historical avg. maturity - 4 years; historical average duration=3.5 years $200 T-Bills 30 days (4.5 percent, par) $50 Certificates of Deposit avg. maturity = 6 months; avg. duration = 6 months $140 T-Bills 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 - Fixed rate avg. maturity = 30 years, avg. duration = 15 years $150 Mortgage Loans - Adjustable avg. maturity = 30 years interest rate reset - 6 months SSO 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? I Question #2 What is the weighted average duration of the assets of the FI? Term Assets Cash Amount $20 Proportion Duration Prop. $50 $90 $300 30-day T-bills 91-day T-bills Commercial loans Consumer loans Mort. Fixed ARMS Total $200 $150 $SO $860 Weighted Average Duration Question #3 What is the weighted average duration of the liabilities of the FI? Duration years Amount Proportion Duration Prop. 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 I How do we immunize against interest rate changes by restructuring our liabilities? Cash $20 Deposits historical avg. maturity - 4 years; historical average duration=3.5 years $200 T-Bills 30 days (4.5 percent, par) $50 Certificates of Deposit avg. maturity = 6 months; avg. duration = 6 months $140 T-Bills 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 - Fixed rate avg. maturity = 30 years, avg. duration = 15 years $150 Mortgage Loans - Adjustable avg. maturity = 30 years interest rate reset - 6 months SSO 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
