What is the bank’s GAP given the following information if the analysis
Question 1)
What is the bank’s GAP given the following information if the analysis window is 8 months?
|
Assets |
Interest rate |
Liabilities |
Interest rate |
|
|
$350,000 cash |
0% |
$3 million in checking deposits |
0% |
|
|
$1.5 million in 180-day Treasury bills |
4% |
$5 million in time deposits mature in 12 months |
2% |
|
|
$3 million in 10 year Treasury bonds |
5.5% |
$1 million in nondeposit borrowing, mature in 15 years |
4% |
|
|
$1.5 million commercial loan |
8% for seven months, Prime + 2% afterwards |
|||
|
$4 million in 5/1 ARM mortgages |
Currently 5% |
Question 2)
What is Net Interest Income for the bank in question 1?
Question 3)
What is the duration of a bond with a three year maturity if it pays an annual coupon of $70, it has a face value of $1,000, and has a yield to maturity equal to 8%?
Question 4)
What is the DGAP of a bank with the following assets and liabilities:
|
Assets |
DAi |
interest rate |
Liabilities |
DLi |
interest cost |
|
$2 million in A1 |
1 years |
5% |
$3 million in L1 |
0.5 years |
0.75% |
|
$4 million in A2 |
7 years |
7% |
$5 million in L2 |
2 year |
1.5% |
|
$3 million in A3 |
5 years |
9% |
$2 million in L3 |
4 years |
2% |
|
$5 million in A4 |
8 years |
8% |
$7 million in L3 |
6 years |
3% |
|
Total assets = $14 million |
Total liabilities = $12 million |
Question 5)
What will the change in the value of net worth be if interest rates increase by 1%?
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Solution: What is the bank’s GAP given the following information if the analysis