Question
The following table provides market values for the balance sheet of a Savings and Loan. Calculate the duration for its asset and liability (highlighted cells).
| The following table provides market values for the balance sheet of a Savings and Loan. | |||||
| Calculate the duration for its asset and liability (highlighted cells). | |||||
|
| Market Value ($m) | Duration | |||
| Assets |
|
| |||
| Cash | 10 | 0 | |||
| Auto loans | 120 | 2 | |||
| Mortgages | 170 | 8 | |||
| Total Assets |
|
| |||
| Liabilities |
|
| |||
| Checking and savings | 120 | 0 | |||
| CDs | 90 | 1 | |||
| Long term financing | 75 | 12 | |||
| Total Liabilities |
|
| |||
| Owener Equity | 15 |
| |||
| Total Liabilities and Equity |
|
| |||
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett, Otgo Erhemjamts
10th Edition
1260013820, 978-1260013825
