Question

What is the duration GAP of a bank whose assets and liabilities are as follows? Assets:...

What is the duration GAP of a bank whose assets and liabilities are as follows?

Assets:
Cash $51 million
Short-term Investments (D=0.4) $152 million
Short-term Loans (D=0.6) $199 million
Long-term Investments (D=4.8) $250 million
Long-term Loans (D=5.5) $396 million

Liabilities:
Demand Deposits $47 million
Short-term Interest-bearing Deposits (D=0.4) $600 million
CDs (D=2.4) $153 million
Borrowed funds (D=0.2) $150 million

Round to three decimals.

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Answer #1
Liabilities
Amount D Amt*D
Demand deposit 47 0 0.00
ST deposits 600 0.4 0.25
CDs 153 2.4 0.39
Borrowed funds 150 0.2 0.03
Total 950.0 0.67
Assets
Amount D Amt*D
Cash 51 0 0.00
ST investments 152 0.4 0.06
ST Loans 199 0.6 0.11
LT investments 250 0.4 0.10
Borrowed funds 396 5.5 2.08
Total 1048.0 2.35
Duration gap Dur(asset)-(L/A*Dur(liab))
Duration gap 1.738
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