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

11th edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan

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Question Posted: Jun 22, 2017 10:10 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 $ millions) $31 540 320 on 435 615 390 285 134 Duration (in years) Asset or Liability Federal funds deposits Accounts receivable Short-term loans Long-term loans Mortgages Checking and savings deposits 20 .65 5.25 2.85 1.60 9.80 N/A

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Input Area Market value Duration Federal funds deposits 31000000 Accounts receivab...View the full answer

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