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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.

Answer & Explanation Solved by verified expert
4.0 Ratings (471 Votes)
Total Asset value Value of Reserves Value of T notes Value of Loans Value of Mortgages 10035017251325 3500 Weight of Reserves Value of ReservesTotal Asset Value 1003500 00286 Weight of T notes Value of T notesTotal Asset Value 3503500    See Answer
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