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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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