Short Answer
and
Calculation
1
. The balance sheet of First Republic Bank appears below. All figures in millions of
Canadian dollars.
a. The total one
-
year rate
-
sensitive assets is?
b.
The
total one
-
year rate
-
sensitive liabilities is?
c.
The cumulative one
-
year repricing gap (CGAP) for the bank is?
2
.
Calculate the duration of a two
-
year corporate bond paying 6 percent interest annually,
selling at par. Principal of $20,000,000 is d...
Get Answer
