Canes National Bank has $1,333 in assets and $700 in liabilities (i.e., deposits). The duration of the bank's assets is 4.2 years and the duration of the bank's liabilities is 2.7 years. What is the duration of the equity of Canes bank? Give the answer in years, with two decimals.
Duration of Equity = [(Duration o0f Assets * Assets) - (Duration of Liability * Liability)] / Equity
= [(4.2 * $1,333) - (2.7 * $700)] / [$1,333 - $700]
= [$5,598.60 - $1,890] / $633
= $3,708.60 / $633 = 5.86 years
Canes National Bank has $1,333 in assets and $700 in liabilities (i.e., deposits). The duration of...
Sargent Bank has $1,153 in assets and $807 in liabilities (i.e., deposits). The duration of the bank's assets is 4.9 years and the duration of the bank's liabilities is 5.2 years. What is the duration of the equity of Canes bank? Give the answer in years, with two decimals.
Market Value Market Value Duration (Years) Assets Rate Rate Liabilities Duration and (Years) Equity Time Deposits 2.50 CDs 5.00 Equity 4% 6% 1.25 3.00 Cash Loans T-Bonds Total $ $ $ $ 150 675 175 1,000 10% 5% $ $ $ 500 400 100 1,000 Use the following bank information for questions a) – e). a) What is the weighted average duration of assets? b) What is the bank's duration gap? c) What is the bank's weighted average cost of...
4.4. Gotbucks Bank, Inc. (in $millions) Assets Liabilities and Equity $ 41 Core deposits Cash Federal funds Loans (floating) 31 Federal funds 61 116 Euro CDs Loans (fixed) 76 Equity 17 Total assets S 264 Total liabilities and equity S 264 Notes to the balance sheet: Currently, the fed funds rate is 9.6 percent. Variable-rate loans are priced at 2 percent over LIBOR (currently at 10 percent). Fixed-rate loans are selling at par and have five-year maturities with 11 percent...
Suppose the First National Bank of Duluth has $500.00 million in total assets with an average asset duration of five years. Assume that the bank’s liabilities are comprised of $86.75 million of demand deposits and $163.75 million in bonds with a 4.00% coupon rate (which pays annually) and a five year time-to-maturity. Further assume that current market interest rates are at 9.00% per annum. What is this bank’s duration gap? Is the bank asset- or liability-sensitive?
Assets Cash Last National Bank Balance Sheet 1 Liabilities and net worth Checkable $ 19.000 $ 115,000 deposits $ 98,000 Stock shares 280,000 $ 278,000 S Reserves Property Instructions: Enter your answers as whole numbers. a. Suppose a depositor at the bank writes a check for $25,000 to a contractor to pay for some remodeling work done on her home. The contractor deposits the check in his bank (which is a different bank). What will last National Bank's balance sheet...
(2.)Suppose the First National Bank of Duluth has $500.00 million in total assets with an average asset duration offive years. Assume that the bank’s liabilities are comprisedof $86.75 million of demand deposits and $163.75 million inbonds with a 4.00% coupon rate (which pays annually) and a fiveyear time-to-maturity. Further assume that currentmarket interest rates are at 9.00% per annum. (a.)(2 point) Calculate the duration of the bank’s bonds.
ASSETS :A=$100m Liabilities: L=$90m E= $10m a. Assume that the average duration of assets is 5 while the average duration of liabilities is 3 years. You are the liability manager of the bank and your boss is unhappy about the interest rate risk. How should you change the duration of the liability side to eliminate all interest rate risk? Provide your answer by calculating the new liability duration with two decimals. b. Assume that the average duration of assets is...
C. Consider the following bank balance sheet Freedom Bank Assets Liabilities Reserves $1200 Deposits $9000 Loans $8000 Debt $800 Securities $800 Net Equity 1. What is the net equity of this bank? 2. What is Freedom Bank's leverage ratio? 3. What does the number you got from C2 mean in plain words? What does it mean for the safety of the bank? 4. What is the bank's reserve ratio?
emy The financial statements for THE Bank are shown below: Balance Sheet THE Bank Assets Liabilities and Equity Cash Demand deposits Small time deposits Jumbo CDs Federal funds purchased Equity $ 2,490 4,840 1,465 1,040 655 240 Demand deposits from other PIs 640 Investments Federal funds sold Loans Reserve for loan losses Premises 1,840 940 6,940 (900) 790 Total assets $10,490 Total liabilities/equity $10,490 Income Statement THE Bank $2,410 1,670 90 Interest income Interest expense Provision for loan 1osses Noninterest...
Morning View National Bank reports that its assets have a duration of 7 years and its liabilities average 1.75 years in duration. To hedge this duration gap, management plans to employ Treasury bond futures, which are currently quoted at 112-170 and have a duration of 10.36 years. Morning View’s latest financial report shows total assets of $100 million and liabilities of $88 million. Approximately how many futures contracts will the bank need to cover its overall exposure?