The numbers provrded by Fourth Bank 01 Duration are m thousands oi dollars: Treasury bill Treasury notes
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Treasury bill Treasury notes Treasury bonds Loans $90 Time deposits $55 Fed funds sold $176 Demand deposits $4,679 Equity $1,100 (a) What is the duration of the bank's Treasury portfolio? $230 $2,500 $1,170 Notes: All Treasury bills have six months until maturity. One-year Treasury notes are priced at par and have a coupon of 7 percent paid semiannually. Treasury bonds have an average duration of 4.5 years and the loan portfolio has a duration of 7 years. Time deposits have a 1-year duration and the Fed funds duration is 0.003 years. Fourth Bank of Duration assigns a duration of zero (0) to demand deposits. Treasury bill Treasury notes Treasury bonds Loans $90 Time deposits $55 Fed funds sold $176 Demand deposits $4,679 Equity $1,100 (a) What is the duration of the bank's Treasury portfolio? $230 $2,500 $1,170 Notes: All Treasury bills have six months until maturity. One-year Treasury notes are priced at par and have a coupon of 7 percent paid semiannually. Treasury bonds have an average duration of 4.5 years and the loan portfolio has a duration of 7 years. Time deposits have a 1-year duration and the Fed funds duration is 0.003 years. Fourth Bank of Duration assigns a duration of zero (0) to demand deposits.
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ANSWER To calculate the duration of the banks Treasury portfolio we need to first calculate the dura... View the full answer
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
Posted Date:
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