Assume a bank with the following balance sheet at the end of thefinancial year.
Assets Amount Avg Duration (in years) Liabilities Amount AvgDuration (in years)
Reserves $100 0 Deposits $2000 1.5
T-notes $350 3 L T Debt $1000 15
Loans $1725 6 Equity $500 0
Mortgages $1325 12
Calculate the duration of assets and liabilities and theduration gap.
