Problem

Blue Moon National Bank holds assets and liabilities whose average durations and dollar am...

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

Asset and Liability Items

 Avg.Duration(yrs)

 $ Amount

 

 

 

Investment Grade Bonds

12.00

$65.00

Commercial Loans

4.00

$400.00

Consumer Loans

8.00

$250.00

Deposits

1.10

$600.00

Nondeposit Borrowings

0.25

$50.00

What is the weighted average duration of New Phase’s asset portfolio and liability portfolio?  What is the leverage-adjusted duration gap?

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