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State Bank's balance sheet is listed below. Amounts are in millions. Assets = -MD x MVA x r Liabilities and Equity Yield Duration Modified Duration
State Bank's balance sheet is listed below. Amounts are in millions. | ||||||||||||||||
Assets | = -MD x MVA x r | Liabilities and Equity | ||||||||||||||
Yield | Duration | Modified Duration | Value | Weight | MV with r | Yield | Duration | Modified Duration | Value | Weight | MV with r | |||||
Cash | 0.00% | 0.00 | $20 | Demand Deposits | 0.00 | $250 | ||||||||||
Fed funds | 5.05% | 0.02 | 150 | MMDAs | 4.50% | 0.50 | 360 | |||||||||
T-bills | 5.25% | 0.22 | 300 | CDs | 4.30% | 0.48 | 715 | |||||||||
T-bonds | 7.50% | 7.55 | 200 | CDs | 6.00% | 4.45 | 1105 | |||||||||
Consumer Loans | 6.00% | 2.50 | 900 | Fed funds | 5.00% | 0.02 | 515 | |||||||||
C&I loans | 5.80% | 6.85 | 475 | Commercial Paper | 5.05% | 0.45 | 400 | |||||||||
Fixed-rate mortgages | 7.85% | 19.5 | 1200 | Subordinate Debt: Fixed rate | 7.25% | 6.65 | 200 | |||||||||
Variable-rate mortgages, repriced @ quarter | 6.30% | 0.25 | 580 | Total Liabilities | ||||||||||||
Premises and Equipment | 0.00% | 0.00 | 120 | |||||||||||||
Equity | ||||||||||||||||
Total Assets | Total Liabilities and SH Equity | |||||||||||||||
a) | Complete the modified duration and portfolio weight for asset and liability |
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