Problem:
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?