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

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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 answer-question

Advanced Accounting

ISBN: 978-1934319307

2nd edition

Authors: Susan S. Hamlen, Ronald J. Huefner, James A. Largay III

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Posted Date: Feb 15, 2024 11:27 PM

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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

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Advanced Accounting

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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