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?

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