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What is the duration GAP of a bank whose assets and liabilities are as follows? Assets: Cash $48 million Short-term Investments (D=0.8) $149 million Short-term
What is the duration GAP of a bank whose assets and liabilities are as follows? Assets: Cash $48 million Short-term Investments (D=0.8) $149 million Short-term Loans (D=0.6) $201 million Long-term Investments (D=4.2) $254 million Long-term Loans (D=6.2) $398 million Liabilities: Demand Deposits $46 million Short-term Interest-bearing Deposits (D=0.3) $595 million CDs (D=2.5) $148 million Borrowed funds (D=0.1) $153 million Round to three decimals.
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