What is the duration of abelard assets

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Consider Abelard Commercial Bank's market-value balance sheet:

Market Value (millions) Duration (in years) Assets Overnight Money 500 0

Loans 500 1 Mortgages 1,000 10

Liabilities

Chequing and Savings 200 0Accounts

Certificates of Deposit 600 5 Long Term Debt 500 15

Equity 700 -

a. What is the duration of Abelard's assets?

b. What is the duration of Abelard's liabilities?

c. Has the bank performed portfolio immunization on its portfolio of assets and liabilities?

Reference no: EM133062729

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