Problem:
|
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 of problem:
These short questions is from Finance as well as the questions are about computation of the duration of a commercial loan as well as leverage adjusted duration gap for bank with the given data.