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The market value balance sheet of "XYZ Bank" shows that it has:
The market value balance sheet of "XYZ Bank" shows that it has:
10 million deposits in checking account deposits with a duration of 2 months
$5 million in cash with zero duration
$25 million in short-term time deposit accounts with a duration of 1 year
$50 million in medium term time deposit accounts with a duration of 2.5 years
$5 million in accounts-receivables backed loans with a duration of 1.5 years
$1 million in interbank overnight loans with zero duration.
$99 million in mortgages with a duration of 8 years.
What should be the duration of assets for the bank's balance sheet to be immunized against the interest rate risk?
