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    Duration of the Assets, Liabilties

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    Blue Steel Community has the following market value balance sheet:

    Assets/Liability Market value(in $ millions) Duration (in years)

    Federal Funds Deposit $31 0
    Accounts Receicables 630 .20
    Short-terms Loans 390 .65
    Long-term Loans 98 5.25
    Mortgages 346 12.85
    Checking and savings deposits 585 0
    Certificates of deposit 310 1.60
    Long-term Financing 305 9.80
    Equity 295 N/A

    a. What is the duration of the assets?
    b. What is the duration of the liabilities?
    c. Is the bank immune to interest rate risk?

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    Solution Summary

    The solution finds out duration of the assets, duration of the liabilities, and bank immune to interest rate risk.