Question
What is the one-year rate-sensitive gap, in $ million, of a bank whose assets and liabilities are as follows? That is, consider assets and liabilities
What is the one-year rate-sensitive gap, in $ million, of a bank whose assets and liabilities are as follows? That is, consider assets and liabilities with duration of up to one year. Assets: Cash $5.3 million Short-term Investments (D=0.79) $14.85 million Short-term Loans (D=0.63) $19.98 million Long-term Investments (D=4.33) $24.77 million Long-term Loans (D=5.23) $39.69 million Liabilities: Demand Deposits $4.59 million Short-term Interest-bearing Deposits (D=0.25) $60 million CDs (D=1.73) $15.29 million Borrowed funds (D=0.34) $14.98 million Round to the nearest $0.01mln.
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