Blue Steel Community Bank has the following market value balance sheet: a. What is the duration of
Question:
Blue Steel Community Bank has the following market value balance sheet:
a. What is the duration of the assets?
b. What is the duration of the liabilities?
c. Is the bank immune to interest rate risk?
Transcribed Image Text:
Asset or Liability Federal funds deposits Accounts receivable Short-term loans Long-term loans Mortgages Checking and savings deposits Certificates of deposit Long-term financing Equity Market Value (in millions) $ 43 555 340 103 498 605 395 285 254 Duration (in years) 0 20 65 5.25 12.85 0 1.60 9.80 N/A
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The duration of a portfolio of assets or liabilities is the weighted average of the duration of the ...View the full answer
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Related Book For
Corporate Finance
ISBN: 9781260772388
13th Edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
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