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Question No. 3: Consider the following bank balance sheet and associated average interest rates. The time frame for rate sensitivity is one year. Assets Amount
Question No. 3: Consider the following bank balance sheet and associated average interest rates. The time frame for rate sensitivity is one year. Assets Amount Rate Liabilities & equity Amount Rate Rate sensitive $$7,600 6% Rate sensitive $7,200 4% Fixed-rate 8,000 9% Fixed-rate 7,600 7% Nonearning 1,600 Nonpaying liabilities 2,400 Total $17,200 Total $17,200 1. Calculate the Bank's GAP, expected Net Interest Income, and Net Interest Margin if interest rates and portfolio composition remain constant during the year. This bank is positioned to profit if interest rates move in which direction? 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 200 6 1. What is the weighted-average duration of Clinton bank's assets portfolio and liability portfolio? What is its leverage-adjusted duration gap
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