What is the weighted average duration of banks asset, Ask an Expert

Finance

JOY Bank holds assets and liabilities whose average durations and dollar amounts are as shown in this table:

Asset and Liability Items Average Duration(yrs) $ Amount

Investment Grade Bonds (Asset) 12.00 $65.00

Commercial Loans (Asset) 4.00 $400.00

Consumer Loans (Asset) 8.00 $250.00

Deposits (Liability) 1.10 $600.00

Nondeposit Borrowings (L) 0.25 $50.00

What is the weighted average duration of bank's asset portfolio and liability portfolio? What is the leverage-adjusted duration gap?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M9681782

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