Solution Library

Calculate The Change In Assets, Liabilities And Equity Of Bank On Change In Interest Rates

Question All assets and liabilities are currently priced at par and pay interest annually. Assets Amount ($ millions) Annual Rate Liabilities Amount ($ millions) Annual Rate 2-year loans $40 8 % 5-year term deposit $30 6 % ... Read More

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Calculate Leverage Adjusted Gap Between Assets and Liabilities And Loan Amortization

Question1. An FI has financial assets of $800 and equity of $50. If the duration of assets is 1.21 years and the duration of all liabilities is 0.25 years, what is the leverage-adjusted duration gap?    a.    0.9000 years.    b.    0.9600 y ... Read More

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Calculate Duration Of Bond And Change In Price Of Bonds

Question1. An FI purchases a $9,982 million pool of commercial loans at par. The loans have an interest rate of 8 percent, a maturity of five years, and annual payments of principal and interest that will exactly amortize the loan at maturity. What is the duration of this asset?    a. ... Read More

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Calculate The Impact On Equity By Leverage Adjusted Duration Gap

QuestionAn FI has a leverage-adjusted duration gap of 1.21 years, $60 million in assets, 7 percent equity to assets ratio, and market rates are 8 percent. What is the impact on the dealer's market value of equity per $100 of assets if the relative change in all interest rates is an increase of 0.5 ... Read More

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Calculate The Change In The Price Of Bond With Change In Market Interest Rates

QuestionConsider a one-year maturity, $100,000 face value bond that pays a 6 percent fixed coupon annually.1. What is the price of the bond if market interest rates are 7 percent?    a. $99,050.15.    b. $99,457.94.    c. $99,249.62.    d. ... Read More

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Calculate Change In Bond Price With Change In Market Interest Rates

QuestionConsider a six-year maturity, $100,000 face value bond that pays a 5 percent fixed coupon annually.1. What is the price of the bond if market interest rates are 4 percent?    a.    $105,816.44.    b.    $105,287.67.   &nbs ... Read More

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Calculate Leverage Adjusted Duration Gap And Duration Of Loan

Question Assets Par Amount Rate Liabilities Par Amount Rate 2-year commercial loans, annual fixed rate, at par $400 million 10 % 1-year CDs, annual fixed rate, at par $450 million 7 % 1-year Treasury bills $100 milli ... Read More

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Calculate Change In The Assets And Liabilities And Change In Interest Rates Of Bank

Question The following information is about current spot rates for an FI’s assets (loans) and liabilities (CDs). All interest rates are fixed and paid annually. Assets Liabilities 1-year loan rate: 7.50 percent 1-year CD rate: 6.50 percent 2-year loan rate ... Read More

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Calculate The Duration Of Treasury Note

Question Based on an 18-month, 8 percent (semiannual) coupon Treasury note selling at par.1. What is the duration of this Treasury note?    a.    1.500 years.    b.    1.371 years.    c.    1.443 years. & ... Read More

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Calculate The Duration Of Treasury Notes And Leverage Adjusted Duration Gap

Question The two-year Treasury notes are zero coupon assets. Interest payments on all other assets and liabilities occur at maturity. Assume 360 days in a year. Assets Liabilities $ 300 million 30-day Treasury bills $ 1,150 million 14-day repos $ 550 million 90- ... Read More

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Calculate The Change In Price Of Coupon Bond With Change In Interest Rate

Question Consider a five-year, 8 percent annual coupon bond selling at par of $1,000.1. What is the duration of this bond?    a. 5 years.    b. 4.31 years.    c. 3.96 years.    d. 5.07 years.    e. Not enough information to ... Read More

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Calculate The Duration Of Treasury Notes And Leverage Adjusted Duration Gap

Question The numbers provided are in thousands of dollars.     Treasury bill $90   Time deposits $1,100 Treasury notes $55   Fed funds sold $ 230 Treasury bonds $176   Demand deposits ... Read More

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