. The following is the balance sheet of a VRY-SMPL Bank. All the items are recorded based...
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The following is the balance sheet of a VRY-SMPL Bank. All the items are recorded based on the book value and they were purchased at par value. Asset Liability 5 year semi-annual 6.45%pa coupon bond 250 6 months treasury bills 250 10 year 3.5% annual coupon bond 100 6 year annual coupon (6.30%pa) bond 300 10 year treasury bond 7.5 % semi annual coupon 350 Equity 150 700 700 5. Assume current market yield is flat at 6.5% p.a. What is the duration gap of the bank (5 marks) 6. Using the duration gap estimated from question 6, what will happen to the net worth of the bank if the market yield goes up by 1.5%p.a.? . 7. What is the maturity gap of the bank (4 marks) (1 marks) The following is the balance sheet of a VRY-SMPL Bank. All the items are recorded based on the book value and they were purchased at par value. Asset Liability 5 year semi-annual 6.45%pa coupon bond 250 6 months treasury bills 250 10 year 3.5% annual coupon bond 100 6 year annual coupon (6.30%pa) bond 300 10 year treasury bond 7.5 % semi annual coupon 350 Equity 150 700 700 5. Assume current market yield is flat at 6.5% p.a. What is the duration gap of the bank (5 marks) 6. Using the duration gap estimated from question 6, what will happen to the net worth of the bank if the market yield goes up by 1.5%p.a.? . 7. What is the maturity gap of the bank (4 marks) (1 marks)
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All figures below are in USD unless mentioned otherwise Asset 1 Duration of 5 year semiannual 645 per annum coupon with par value of USD 250 Half Year No A Scheduled Debt Obligations Cash Flows B Year ... View the full answer
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
Posted Date:
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