The following is an FI's balance sheet (Smillions). Treasury bill $90 Time deposits $1,100 $55 Fed...

  

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The following is an FI's balance sheet (Smillions). Treasury bill $90 Time deposits $1,100 $55 Fed funds sold $230 $176 Demand deposits $2,500 Loans $4,679 Equity $1,170 Notes: All Treasury bills have six months until maturity. One-year Treasury notes are priced at par and have a coupon of 7 percent paid semiannually. Treasury bonds have an average duration of 4.5 years and the loan portfolio has a duration of 7 years. Time deposits have a 1-year duration and the Fed funds duration is 0.003 years. The Bank assigns a duration of zero (0) to demand deposits. (1) What is the duration of the bank's Treasury notes? Treasury notes Treasury bonds (2) Calculate the Weighted Duration of Assets (DA) (3) Calculate the Weighted Average Duration of Liabilities (DL). (4) Calculate the Leverage-Adjusted Duration Gap. (5) Calculate the change in the equity value of the bank's if all interest rates increase by 75 basis points? (i.e., AR/(1+R) -0.0075 The following is an FI's balance sheet (Smillions). Treasury bill $90 Time deposits $1,100 $55 Fed funds sold $230 $176 Demand deposits $2,500 Loans $4,679 Equity $1,170 Notes: All Treasury bills have six months until maturity. One-year Treasury notes are priced at par and have a coupon of 7 percent paid semiannually. Treasury bonds have an average duration of 4.5 years and the loan portfolio has a duration of 7 years. Time deposits have a 1-year duration and the Fed funds duration is 0.003 years. The Bank assigns a duration of zero (0) to demand deposits. (1) What is the duration of the bank's Treasury notes? Treasury notes Treasury bonds (2) Calculate the Weighted Duration of Assets (DA) (3) Calculate the Weighted Average Duration of Liabilities (DL). (4) Calculate the Leverage-Adjusted Duration Gap. (5) Calculate the change in the equity value of the bank's if all interest rates increase by 75 basis points? (i.e., AR/(1+R) -0.0075

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Calculate the various financial metrics for the bank 1 Duration of the banks Treasury notes Given On... View the full answer