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What is the duration GAP of a bank whose assets and liabilities are as follows? Assets: Cash $49 million Short-term Investments (D=0.5) $147 million Short-term
What is the duration GAP of a bank whose assets and liabilities are as follows?
Assets:
Cash $49 million
Short-term Investments (D=0.5) $147 million
Short-term Loans (D=0.8) $202 million
Long-term Investments (D=4.4) $248 million
Long-term Loans (D=6.7) $398 million
Liabilities:
Demand Deposits $50 million
Short-term Interest-bearing Deposits (D=0.3) $602 million
CDs (D=2.3) $151 million
Borrowed funds (D=0.4) $152 million
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