Blue Steel Community Bank has the following market value balance sheet: a. What is the duration of

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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?

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Corporate Finance

ISBN: 978-0077861759

10th edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe

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Question Posted: Aug 28, 2014 10:30 AM

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Blue Steel Community Bank has the following market value balance sheet: a. What is the duration of

Question:

Market Value (In $ milions) Duration (in years) Asset or Liablity Federal funds deposits Accounts receivable Short-term loans Long-term loans Mortgages Checking and savings deposits Certificates of deposit Long-term financing Equity $ 31 590 340 98 485 645 410 336 153 .20 65 5.25 2.85 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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