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A bank has $100 million of investment grade bonds with a duration of 9.0 years. This...

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Finance

A bank has $100 million of investment grade bonds with aduration of 9.0 years. This bank also has $500 million ofcommercial loans with a duration of 5.0 years. This bank has $300million of consumer loans with a duration of 2.0 years. This bankhas deposits of $600 million with a duration of 1.0 year andnon-deposit borrowings of $100 million with an average durationof.25 years. What is this bank's duration gap? These are all of theassets and liabilities this bank has

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To calculate the duration gap of bank we will first calculate Weighted average duration of assets of bank Total assets of bank Value of investment grade bonds Value of commercial loans Value of consumer loans 100 500 300 900 million Weight of investment grade bond    See Answer
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A bank has $100 million of investment grade bonds with aduration of 9.0 years. This bank also has $500 million ofcommercial loans with a duration of 5.0 years. This bank has $300million of consumer loans with a duration of 2.0 years. This bankhas deposits of $600 million with a duration of 1.0 year andnon-deposit borrowings of $100 million with an average durationof.25 years. What is this bank's duration gap? These are all of theassets and liabilities this bank has

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