c) Estimate the duration of the banks assets if the following information is also available:

duration of Government Securities and Floating-rate loans (each) is 0.85. d) Estimate the duration of the banks liabilities if the following information is also

available: duration of CDs and Other borrowings (each) is 0.35. e) Estimate the banks (leveraged adjusted) duration gap. Explain whether the bank has any

interest rate risk exposure and discuss a possible method of immunization (if needed).

The fixed-rate mortgages on the balance sheet are with maturity T=5 years, par (face) value of $40, and 14% interest (annual). Any principals are paid fully at maturity T. The time deposits are with maturity T=2 years, par (face) value of $165, and earn 6% per annum to deposit holders. The fixed-rate mortgages on the balance sheet are with maturity T=5 years, par (face) value of $40, and 14% interest (annual). Any principals are paid fully at maturity T. The time deposits are with maturity T=2 years, par (face) value of $165, and earn 6% per annum to deposit holders