Question: Help please!! Use the information provided below for Company X to answer the questions. Show all work. Assets $ in Millions Duration Cash $ 250

Help please!!

Use the information provided below for Company X to answer the questions. Show all work.

Assets $ in Millions Duration

Cash $ 250 0.00

Loans 750 4.00

Total Assets $ 1,000

Liabilities

Debt $ 900 4.10

Net Worth $ 100

  1. Calculate the duration of Company X's net worth.
  2. Calculate the expected net worth if interest rates were to fall 110 basis points.
  3. Independent of question b, if the Bank's Board has the following constraints on the volatility of its net worth in relation to interest rate changes, discuss what actions management needs to take, if any.

Change in Rates (Basis Points) Net Worth Impact

+200 -10%

+100 -5%

-100 -5%

-200 -10%

d. What duration of net worth is acceptable to the Board given the constraints in c?

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