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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=0.8) $149 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=0.8) $149 million Short-term Loans (D=0.6) $204 million Long-term Investments (D=3.6) $251 million Long-term Loans (D=6.6) $402 million Liabilities: Demand Deposits $50 million Short-term Interest-bearing Deposits (D=0.4) $600 million CDs (D=2.4) $149 million Borrowed funds (D=0.3) $149 million Round to three decimals.
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