Duration Blue Steel Community Bank has the following market value balance sheet:

Asset or Liability Market Value

(in millions)

Duration

(in years)

Federal funds deposits $ 28 0 Accounts receivable 580 0.20 Short-term loans 390 0.65 Long-term loans 84 5.25 Mortgages 315 14.25 Checking and savings deposits 520 0 Certifi cates of deposit 340 1.60 Long-term fi nancing 260 9.80 Equity 277 N/A

a. What is the duration of the assets?

b. What is the duration of the liabilities?

c. Is the bank immune from interest rate risk?

 LO.1