Use the following information to answer questions. Assets (in thousands)AmountDurationLiab&NWAmountDuration__ Cash$1000.001-yr CD$6001.00 C&ILoans$4001.256-yr CD$3005.00 Mortgageloans$5007.00NW (equity)$100______________ $1000$1000
Fantastic news! We've Found the answer you've been seeking!
Question:
Use the following information to answer questions.
Assets (in thousands)AmountDurationLiab&NWAmountDuration__
Cash$1000.001-yr CD$6001.00
C&ILoans$4001.256-yr CD$3005.00
Mortgageloans$5007.00NW (equity)$100______________
$1000$1000
- What is the duration of the bank's assets?
- What is the duration of the bank's liabilities?
- What is the leverage-adjusted duration gap for this bank?
- If the bank want to immunize against interest rate risk, should it buy or sell bond futures? Why?
Related Book For
Advanced Accounting
ISBN: 978-1934319307
2nd edition
Authors: Susan S. Hamlen, Ronald J. Huefner, James A. Largay III
Posted Date: