Duration Blue Steel Community Bank has the following market value balance sheet: Asset or Liability Market Value
Question:
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
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