iBank located in Singapore has the following balance sheet (in million): < Assets < Cash Duration...

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iBank located in Singapore has the following balance sheet (in million):< Assets< Cash Duration< S$20 Interbank loans S$40 1 year Loans < S$240 5 years T-Bill S$100 Total assets:< S$400< 1 year Liabilities and Equity 2 < Duration< Deposits< S$40 0.5 years< Long-term deposits S$100 3 years Certificate of deposits S$200 4 years Equity< S$60 Total liabilities and equities: S$400 < 2 Required: a. Compute durations for both assets and liabilities portfolios. Is iBank's assets or liabilities portfolio more sensitive to interest rate risk?< DA=(20/400)*0+(40/440)*1+(240/400)*5+(100/400)*1=3.44< DL=(40/340)*0.5+(100/340)*3+(200/340)*4=3.29< < (5 marks)< iBank located in Singapore has the following balance sheet (in million):< Assets< Cash Duration< S$20 Interbank loans S$40 1 year Loans < S$240 5 years T-Bill S$100 Total assets:< S$400< 1 year Liabilities and Equity 2 < Duration< Deposits< S$40 0.5 years< Long-term deposits S$100 3 years Certificate of deposits S$200 4 years Equity< S$60 Total liabilities and equities: S$400 < 2 Required: a. Compute durations for both assets and liabilities portfolios. Is iBank's assets or liabilities portfolio more sensitive to interest rate risk?< DA=(20/400)*0+(40/440)*1+(240/400)*5+(100/400)*1=3.44< DL=(40/340)*0.5+(100/340)*3+(200/340)*4=3.29< < (5 marks)<

Answer rating: 100% (QA)

To compute the duration for iBanks assets and liabilities portfolios we use the formul... View the full answer