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 of rate sensitive and non-rate sensitive as illustrated in class notes.

B. Perform a Standard Gap Analysis and a Duration Analysis using the above data if you have a 2.20% decrease in interest rates and an average duration of assets of 8.2 years and an average duration of liabilities of 3.3 years.

C. Determine the new level of equity capital.

Answer rating: 100% (QA)

Solution Balance sheet Particulars Amount LIABILITIES Shar... View the full answer