#145 A 2 A ESSE Assets Cash y commercial an 6-y Treasury bond Market Value Rate...
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#145 A 2 A ESSE Assets Cash y commercial an 6-y Treasury bond Market Value Rate $100 700 12% 200 Paragraph Exercise - Homework Example: Suppose ABC bank has following balance sheet information available: Market Value Rate 1620 300 on feat Convert to SunArt $1,000 Liabilities and Equity 1yr. time deposit 3-yr, certificate of deposit Total hasht Equity (VD) 920 500 $1,000 A11-06 0 en Total Using above information, answer the following questions. 1. Compute the Macaulay's duration of each asset? 2. Compute the Macaulay's duration of each liability? 3. What is the weighted average duration of assets? 4. What is the bank's duration gap? 5. What is the bank's weighted average cost of liabilities? 6. What is the bank's expected economic net interest income? 7. 5% 7% MacBook Pro Arrange Quick Drawing If interest rates rise 1% for all assets and liabilities, what is the approximate expected change in the economic value of equity? No ORE HB Select- 30 2021-03-15 09:13 Speed Solution - Homework Market Value Assets Cash 3-yr. commercial loan 6-yr. Treasury bond Total Commercial loan $100 700 200 $1,000 84 (1.12) Rate Duration 12% 8 2.69 yrs. 4.99 2.80 yrs. 84(2) 784(3) (1.12) (1.12) $700 Liabilities and Equity 1-yr. time deposit 3-yr. certificate of deposit Total liabilities Equity (EVE) 21 21(2) 321(3) (107) (107) (107) $300 Market Value $620 300 920 $80 $1,000 0107(1) 0096(2) 0.797(3) 269 years Rite 5% 7% DGAP-288-($920/$1,000(159)-1.42 yrs Weighted average cost of liabilities 620x5% + 300x7% -31 +21-552 Expected economic net interest income-0 12/1700) 0081200)-005 1620-0071300)-148 00 Duration 1.00 yr 2.81 yrs. Certificate of deposit 0065(1)-0061(2)-0874(3) 281 years Weighted avg duration of assets (DA)-($100/$700) (0)-($700/$1,000 (269)-($200/51,000) (4.99)-2.88 yrs. Weighted avg, duration of liabilities (DL)-(5620/5920)(1.0) ($300/5920)(281)-159 yrs 1.59 yrs. © 2015 Cengage Learning. All rights reserved. May not be copled, scanned or duplicated, in whole or in part, except for use as permitted in a license distributed with a certain product RÉSERVICE Denthou Weighted Average return on assets=0.7x12% +0.2x8%-10% DEVE = -DAP [AMVA AEVE -1.42x[0.01/1.1]x1000-12.91% Aug-Ram Ats #145 A 2 A ESSE Assets Cash y commercial an 6-y Treasury bond Market Value Rate $100 700 12% 200 Paragraph Exercise - Homework Example: Suppose ABC bank has following balance sheet information available: Market Value Rate 1620 300 on feat Convert to SunArt $1,000 Liabilities and Equity 1yr. time deposit 3-yr, certificate of deposit Total hasht Equity (VD) 920 500 $1,000 A11-06 0 en Total Using above information, answer the following questions. 1. Compute the Macaulay's duration of each asset? 2. Compute the Macaulay's duration of each liability? 3. What is the weighted average duration of assets? 4. What is the bank's duration gap? 5. What is the bank's weighted average cost of liabilities? 6. What is the bank's expected economic net interest income? 7. 5% 7% MacBook Pro Arrange Quick Drawing If interest rates rise 1% for all assets and liabilities, what is the approximate expected change in the economic value of equity? No ORE HB Select- 30 2021-03-15 09:13 Speed Solution - Homework Market Value Assets Cash 3-yr. commercial loan 6-yr. Treasury bond Total Commercial loan $100 700 200 $1,000 84 (1.12) Rate Duration 12% 8 2.69 yrs. 4.99 2.80 yrs. 84(2) 784(3) (1.12) (1.12) $700 Liabilities and Equity 1-yr. time deposit 3-yr. certificate of deposit Total liabilities Equity (EVE) 21 21(2) 321(3) (107) (107) (107) $300 Market Value $620 300 920 $80 $1,000 0107(1) 0096(2) 0.797(3) 269 years Rite 5% 7% DGAP-288-($920/$1,000(159)-1.42 yrs Weighted average cost of liabilities 620x5% + 300x7% -31 +21-552 Expected economic net interest income-0 12/1700) 0081200)-005 1620-0071300)-148 00 Duration 1.00 yr 2.81 yrs. Certificate of deposit 0065(1)-0061(2)-0874(3) 281 years Weighted avg duration of assets (DA)-($100/$700) (0)-($700/$1,000 (269)-($200/51,000) (4.99)-2.88 yrs. Weighted avg, duration of liabilities (DL)-(5620/5920)(1.0) ($300/5920)(281)-159 yrs 1.59 yrs. © 2015 Cengage Learning. All rights reserved. May not be copled, scanned or duplicated, in whole or in part, except for use as permitted in a license distributed with a certain product RÉSERVICE Denthou Weighted Average return on assets=0.7x12% +0.2x8%-10% DEVE = -DAP [AMVA AEVE -1.42x[0.01/1.1]x1000-12.91% Aug-Ram Ats
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Exercise Solution 1 Compute the Macaulays duration of each asset Asset Market Value Rate Duration Ti... View the full answer
Related Book For
Financial Theory and Corporate Policy
ISBN: 978-0321127211
4th edition
Authors: Thomas E. Copeland, J. Fred Weston, Kuldeep Shastri
Posted Date:
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