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What is the duration GAP of a bank whose assets and liabilities are as follows? Assets: Cash $50 million Short-term Investments (D=0.6) $151 million Short-term
What is the duration GAP of a bank whose assets and liabilities are as follows?
Assets: Cash $50 million Short-term Investments (D=0.6) $151 million Short-term Loans (D=0.8) $204 million Long-term Investments (D=3.7) $246 million Long-term Loans (D=6.2) $400 million Liabilities: Demand Deposits $50 million Short-term Interest-bearing Deposits (D=0.4) $609 million CDs (D=1.9) $151 million Borrowed funds (D=0.2) $152 million Round to three decimals.
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