C. Assume that the ASB Bank has the following structure of assets and liabilities: Assets Floating...
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C. Assume that the ASB Bank has the following structure of assets and liabilities: Assets Floating rate business loans $250 Federal funds sold 50 Fixed rate loans and investments 700 Total Assets $1000 a. What is the dollar or maturity gap of the bank? C. Liabilities Variable Rate Liabilities (floating rate CD and money market deposit accounts) Market Deposit Accounts Federal funds purchased Fixed rate liabilities Equity Total Liabilities and Equity $200 200 500 100 $1,000 b. Assuming that floating rate business loans are 20% as volatile as treasury bills, that federal funds are 200% as volatile as treasury bills, and that variable rate liabilities other than federal funds purchased are 10% as volatile as treasury bills, what is the standardised gap? Does the standardised gap suggest a different conclusion about interest rate risk? C. Assume that the ASB Bank has the following structure of assets and liabilities: Assets Floating rate business loans $250 Federal funds sold 50 Fixed rate loans and investments 700 Total Assets $1000 a. What is the dollar or maturity gap of the bank? C. Liabilities Variable Rate Liabilities (floating rate CD and money market deposit accounts) Market Deposit Accounts Federal funds purchased Fixed rate liabilities Equity Total Liabilities and Equity $200 200 500 100 $1,000 b. Assuming that floating rate business loans are 20% as volatile as treasury bills, that federal funds are 200% as volatile as treasury bills, and that variable rate liabilities other than federal funds purchased are 10% as volatile as treasury bills, what is the standardised gap? Does the standardised gap suggest a different conclusion about interest rate risk? C. Assume that the ASB Bank has the following structure of assets and liabilities: Assets Floating rate business loans $250 Federal funds sold 50 Fixed rate loans and investments 700 Total Assets $1000 a. What is the dollar or maturity gap of the bank? C. Liabilities Variable Rate Liabilities (floating rate CD and money market deposit accounts) Market Deposit Accounts Federal funds purchased Fixed rate liabilities Equity Total Liabilities and Equity $200 200 500 100 $1,000 b. Assuming that floating rate business loans are 20% as volatile as treasury bills, that federal funds are 200% as volatile as treasury bills, and that variable rate liabilities other than federal funds purchased are 10% as volatile as treasury bills, what is the standardised gap? Does the standardised gap suggest a different conclusion about interest rate risk? C. Assume that the ASB Bank has the following structure of assets and liabilities: Assets Floating rate business loans $250 Federal funds sold 50 Fixed rate loans and investments 700 Total Assets $1000 a. What is the dollar or maturity gap of the bank? C. Liabilities Variable Rate Liabilities (floating rate CD and money market deposit accounts) Market Deposit Accounts Federal funds purchased Fixed rate liabilities Equity Total Liabilities and Equity $200 200 500 100 $1,000 b. Assuming that floating rate business loans are 20% as volatile as treasury bills, that federal funds are 200% as volatile as treasury bills, and that variable rate liabilities other than federal funds purchased are 10% as volatile as treasury bills, what is the standardised gap? Does the standardised gap suggest a different conclusion about interest rate risk?
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a To calculate the dollar or maturity gap of the bank you need to subtract the dollar amount of liabilities from the dollar amount of assets The dolla... View the full answer
Related Book For
Financial Reporting Financial Statement Analysis and Valuation a strategic perspective
ISBN: 978-1337614689
9th edition
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
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