1 year 1.6 years 3 years 20 years Balance Sheet of the Bank Assets Market...
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1 year 1.6 years 3 years 20 years Balance Sheet of the Bank Assets Market Value Duration Overnight money 50 million 0 Treasury Bills 100 million Inventory Loans 125 million Industrial Loans 75 million Mortgage Loans 150 million Value(assets) = 500 million D(assest) = ??? years Liabilities Checking &Savings Acct 210 million 0 CD's 150 million 2 Long-term Bonds 90 million 10 Value(liabilities) = 450 million D(liab:) = ??? years Equity E = 50 million 23. What are the durations of the Bank's assets and liabilities? (Hint: the portfolio duration is the market value weighted average duration of individual assets in the portfolio) A. D(assest) = 4.33 years; D(liab.) = 2.56 years. B. D(assest) = 5.75 years; D(liab.) = 2.88 years. C. D(assest) = 6.48 years; D(liab.) = 3.20 years. D. D(assest) = 7.05 years; Dliab.) = 2.67 years. E. D(assest) = 7.55 years; D(liab.) = 3.06 years
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