Given the following information: (all numbers are in millions) Discount loans =

Question

Given the following information: (all numbers are in millions)

Discount loans = $1

Money Market demand accts = $7

Fixed rate CD’s =$3

Treasury notes = $8

Fed Funds borrowing =$2

Savings Deposits = $2

Variable rate loans =$15

Reserves =$3

Equity Capital = $5

Treasury-bills =$7

Variable rate CD’s = $12

Fed Funds lending =$4

Demand deposits =$5

A. Develop a balance sheet from the above data.

B. Perform a Standard Gap Analysis and a Duration Analysis using the above data if you have a 1.75% decrease in interest rates and an average duration of assets of 4.5 years and an average duration of liabilities of 3.2 years. Indicate the new level of equity capital.

Explanation / Answer

A.

Assets Amount Liabilities Amount Discount loans 1 Variable rate Cd's 12 Fed funds borriwings 2 Savings deposits 2 Variable rate loans 15 Treasury notes 8 Reserves 3 Fixed Rate CD'd 3 Equity Capital 5 Treasury Bills 7 Money market demand 7 Demand deposits 5 Fed funds lending 4

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