Question
Waukesha Bank Balance Sheet at December 31, 2021 Amount Duration ($ millions) (years) Assets Cash and Cash items $6.00 0.00 Reserves at Fed 5.00 0.00
Waukesha Bank | ||||
Balance Sheet at December 31, 2021 | ||||
Amount | Duration | |||
($ millions) | (years) | |||
Assets |
| |||
Cash and Cash items | $6.00 | 0.00 | ||
Reserves at Fed | 5.00 | 0.00 | ||
Securities: | ||||
Less than 1 year | 41.00 | 0.40 | ||
1 - 2 years | 3.00 | 1.60 | ||
Greater than 2 years | 8.00 | 4.16 | ||
Residential mortgages: | ||||
Variable-rate | 30.00 | 0.40 | ||
Fixed-rate (30 years) | 15.00 | 10.30 | ||
Commercial loans: | ||||
Less than 1 year | 50.00 | 0.90 | ||
1 - 2 years | 33.00 | 1.80 | ||
Greater than 2 years | 23.00 | 15.00 | ||
Building and Equipment | 12.00 | 0.00 | ||
Other Assets | 1.00 | 0.00 | ||
Total Assets | $227.00 | |||
| ||||
Amount | Duration | |||
($ millions) | (years) | |||
Liabilities | ||||
Checkable deposits | $9.00 | 1.00 | ||
Money market demand accounts | 8.00 | 0.80 | ||
Savings deposits | 20.00 | 1.00 | ||
Certificates of deposit: | ||||
Variable-rate | 50.00 | 0.90 | ||
Less than 1 year | 21.00 | 0.30 | ||
1 - 2 years | 13.00 | 1.80 | ||
Greater than 2 years | 4.00 | 8.00 | ||
Fed funds borrowed | 15.00 | 0.01 | ||
Borrowings: | ||||
Less than 1 year | 40.00 | 0.40 | ||
1 - 2 years | 9.00 | 1.20 | ||
Greater than 2 years | 32.00 | 12.00 | ||
Other liabilities | 1.00 | 0.00 | ||
Total Liabilities | $222.00 | |||
| ||||
Equity Capital | $5.00 | |||
Total Liabilities and Equity | $227.00 |
To prepare your presentation for the bank officers, you anticipate and answer the following questions (Show your work and carry all numbers out 3 decimal places.)
- What is the total for interest-rate-sensitive assets for the bank? (0.1 pts.)
- What is the total for interest-rate-sensitive liabilities for the bank? (0.2 pts.)
- What is the interest sensitive gap (ISGAP) of the bank? (0.2 pts.)
- If interest rates increase by 1.5%, what will be the estimated change in net interest income for the bank? (0.2 pt.)
5. What is the weighted average duration of total assets for the bank? (0.2pts.)
6. What is the weighted average duration of total liabilities for the bank? (0.2 pts.)
7. What is the duration gap of capital (DGAP) for the bank? (0.2 pt.)
8. If interest rates increase by 1.5%, what will be the expected change in the market value of capital for the bank? (0.2 pt.)
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