Assume a bank with the following balance sheet at the end of the
financial year.
Assets Amount...
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Finance
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.
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3.9 Ratings (627 Votes)
Total assets A Reserves T notes Loans Mortgages 100 350 1725 1325 3500Total liabilitiesexcluding equity L Deposits LT debt 2000 1000 3000Duration of Assets DA
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