Question

Part 2: Problems 1. The are shown below average durations and dollar amounts of assets and liabilities held in International Bank Asset and Liability Items Avg.Duration yrs) Amount Investment Grade Bonds Commercial Loans Consumer Loans Deposits Nondeposit Borrowings $80.00 $500.00 $220.00 $600.00 2.00 5.00 8.00 1.0 $400.00 10 What is the weighted average duration of International Bank's asset portfolio? What is the weighted average duration of International Bank's liability portfolio? What is the leverage-adjusted duration gap? (1.5 point)

Answer 1

Soluson Assels 1. Commercial loans 5 2. Consumer loons Amount() 500 220 eighted ave tage durctian Asset pxt folio 200 x8a do Asset1 120 iabi bhe 1 Jovedment yrede Bands, g0 Dep>sīks ! 4O0 St ogt 1 014 yeors calkedation Weighled average k, Th LA DG- 7- 45 year s