Calculate Leverage Adjusted Duration Gap And Duration Of Loan
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Question
|
Assets |
Par Amount |
Rate |
Liabilities |
Par Amount |
Rate |
|
2-year commercial loans, annual fixed rate, at par |
$400 million |
10 % |
1-year CDs, annual fixed rate, at par |
$450 million |
7 % |
|
1-year Treasury bills |
$100 million |
|
Net Worth |
$50 million |
|
1. What is the duration of the commercial loans?
a. 1.00 years.
b. 2.00 years.
c. 1.73 years.
d. 1.91 years.
e. 1.50 years.
2. What is the FI's leverage-adjusted duration gap?
a. 0.91 years.
b. 0.83 years.
c. 0.73 years.
d. 0.50 years.
e. 0 years.
Summary
These short questions belong to Finance and the questions are about calculation of the duration of a commercial loan and leverage adjusted duration gap for the bank with the given data.
Total Word Count 75
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