Calculate the bank's Duration GAP. Assets Market Value Rate Duration Liabilities Market Value Rate Duration Cash $500 Small time deposits $100 2.5% 2 T-bond $700 5.0% 2.5 Large CDs $800 4.0% 2 Comm. Loan $1,000 7.0% 4 Transaction $1,000 2.0% 3 Accounts Total Assets $2,200 Total Liabilities $1,900 Equity (EVE) $300 Total Liabilities and $2,200 Equity 1) 1.23 years 2) 0.43 years 3) 4 years 4) 3.18 years 5) - 4 years What is the weighted average duration of assets? Duration Assets Cash Market Value $:50 $225 $625 Rate Duration 2.57 2 2 Market Value $100 S300 $SOC 5900 $100 $1,000 S 3 Commt. lcan Liabilities Smalltime deposits Large Cos Transaction Acounts Total liabilities Equity (EVE) Total Liabilities and Equity 7.1 7 20% Total Assets $1,000 1) 10 years 2) 4.83 years 3) 7 years 4) 3.25 years 5) 6.5 years