Explain bank''s asset portfolio and liability portfolio

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Reference no: EM13215378

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?

Reference no: EM13215378

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