Question

For problems 2 through 5 refer to the following balance sheeet: ASSETS                              &nbs

For problems 2 through 5 refer to the following balance sheeet:

ASSETS                                                                   LIABILTIES

Cash                                   20                                Core Deposits               60

Fed funds                           30                                Fed funds                     50

Loans (floating)                   80                                Euro CDs                       30

Loans (fixed)                       40                                Equity                           30

TOTAL                                170                                                                  170

The fixed rate loans are 10 year, 8% (annual) coupon bonds with a yield of 6%.

Cash and fed funds have a 0 duration.

Floating loans have a duration of 1.0.

All liabilities have a duration of 0.50.

2.  What is the duration of the assets?  (3)

3.  What is the duration of the liabilities?  (3)

4.  What is the duration gap?  

5.  If all rates increase by 2%, what is the approximate percentage change in equity?

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

0 0
Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
BankBoston Balance Sheet Assets Liabilities Cash 30 Core Deposits 20 Federal Funds (8.5%, .36) 20 Federal...
BankBoston Balance Sheet Assets Liabilities Cash 30 Core Deposits 20 Federal Funds (8.5%, .36) 20 Federal Funds (8.5%, .401) 50 Loans (Fixed) (12%, x) 105 Euro CDs (9%, .401) 130 Loans Floating (Libor +4%, .36) 65 Equity 20 Total Assets 220 Total Liabilities and Equity 220 Notes: Libor is 11%. Fixed rate loans have five-year maturities, and are priced at par, principal is repaid at maturity. 1.What is the duration of the fixed rate loans? 2.What is the duration of...
Use the data provided for Gotbucks Bank, Inc., to answer this question. Gotbucks Bank, Inc. (in...
Use the data provided for Gotbucks Bank, Inc., to answer this question. Gotbucks Bank, Inc. (in $ millions) Assets Liabilities and Equity   Cash $ 45   Core deposits $ 28   Federal funds 35   Federal funds 65   Loans (floating) 120   Euro CDs 145   Loans (fixed) 80   Equity 42   Total assets $ 280   Total liabilities and equity $ 280 Notes to the balance sheet: Currently, the fed funds rate is 10 percent. Variable-rate loans are priced at 3 percent over LIBOR (currently at...
What is the Duration Gap for the bank balance sheet shown below? Assets Amount Duration Liabilities...
What is the Duration Gap for the bank balance sheet shown below? Assets Amount Duration Liabilities and Equity Amount Duration Cash 80 0.00 Non-interest deposits 150 0.00 Securities 300 4.00 NOW checking 150 1.50 Loans, net 570 5.00 MMDA 300 0.25 Fed funds sold 0 CDs 170 2.00 Non-earning assets 50 Fed Funds purchased 150 0.00 $1,000 Equity 80 $1,000 A. 4.05 years B. 3.41 years C. 0.70 years D. 3.35 years E. 5.25 years
Assets Liabilities Reserves 250 Deposits   Required __     Transaction (checking) deposits 1000   Excess __      Savings deposits 3000...
Assets Liabilities Reserves 250 Deposits   Required __     Transaction (checking) deposits 1000   Excess __      Savings deposits 3000 Loans    Money Market deposits 500     Variable rate loans 750 Time deposits (CDs)     Short-term loans 1600     Fixed rate 500    Long-term fixed rate loans    2000     Variable rate 100 Securities Borrowing    Short-term securities 500     Fed funds borrowed 0    Long-term securities 600 Refer to the bank balance sheet above. Calculate the gap between interest-sensitive assets and interest sensitive liabilities. Answer in millions and do not enter a $...
Money Market deposit accts. = $7; Fixed rate CD’s = $6; Treasury notes = $8; Fed...
Money Market deposit accts. = $7; Fixed rate CD’s = $6; Treasury notes = $8; Fed Funds lending = $2; Savings Deposits = $2; Fixed rate loans = $17; Discount loans = $1.5; Reserves = $2.5; Equity Capital = $7; Treasury-bills = $9; Variable rate CD’s = $16; Fed Funds borrowing = $4; Demand deposits = $3; Variable rate mortgage loans = $8 A. Develop a balance sheet from the above data into assets and liabilities with a correct division...
The bank balance sheet below lists the categories of assets and liabilities, along with the total...
The bank balance sheet below lists the categories of assets and liabilities, along with the total amount of each category, and the amount in each category that is "interest rate sensitive" or repriced within one year. Calculate the existing Dollar Gap for the bank. Next, calculate the effect (change) on this bank's Net Interest Income if interest rates fall or decrease by 0.50 percentage points or 50 bp. "%" denotes either the current interest rate earned earned or paid on...
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 $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.
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.
Assets Liabilities Reserves 250 Deposits   Required __     Transaction (checking) deposits 1000   Excess __      Savings deposits 3000...
Assets Liabilities Reserves 250 Deposits   Required __     Transaction (checking) deposits 1000   Excess __      Savings deposits 3000 Loans    Money Market deposits 500     Variable rate loans 750 Time deposits (CDs)     Short-term loans 1600     Fixed rate 500    Long-term fixed rate loans    2000     Variable rate 100 Securities Borrowing    Short-term securities 500     Fed funds borrowed 0    Long-term securities 600 Refer to the bank balance sheet above. Suppose values are in millions of dollars. Assume the reserve requirement is not tiered and is set at 10%....
Assets Liabilities Reserves 250 Deposits   Required __     Transaction (checking) deposits 1000   Excess __      Savings deposits 3000...
Assets Liabilities Reserves 250 Deposits   Required __     Transaction (checking) deposits 1000   Excess __      Savings deposits 3000 Loans    Money Market deposits 500     Variable rate loans 750 Time deposits (CDs)     Short-term loans 1600     Fixed rate 500    Long-term fixed rate loans    2000     Variable rate 100 Securities Borrowing    Short-term securities 500     Fed funds borrowed 0    Long-term securities 600 Refer to the bank balance sheet above. Suppose values are in millions of dollars. Suppose return on assets (ROA) is 1.2%. Suppose bank owners convince bank...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT