Orinoco Bank has the following rate-sensitive assets: Treasury bills ($210 million), commercial loans ($540 million), and consumer

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Orinoco Bank has the following rate-sensitive assets: Treasury bills ($210 million), commercial loans ($540 million), and consumer loans ($200 million). The duration of each type of asset is 0.65, 1.87 and 6.9 years, respectively. Calculate Orinoco Bank’s average duration of the assets if physical capital equals $35 million and the bank holds $15 million in reserves.

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Financial Markets And Institutions

ISBN: 9781292215006

9th Global Edition

Authors: Stanley Eakins Frederic Mishkin

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