Question: please show work Consider the following. a. Calculate the leverage-adjusted duration gap of an Fl that has assets of $1.9 million invested in 25-year, 12
please show work
Consider the following. a. Calculate the leverage-adjusted duration gap of an Fl that has assets of $1.9 million invested in 25-year, 12 percent semiannual coupon Treasury bonds selling at par and whose duration has been estimated at 10.03 years. It has liabilities of $990,000 financed through a two-year, 9.00 percent semiannual coupon note selling at par. b. What is the impact on equity values if all interest rates fall 10 basis pointsthat is, AR/(1 + R/2) = -0.0010? (For all requirements, do not round intermediate calculations. Round your answers to 2 decimal places. (e.g., 32.16)) years Leveraged adjusted duration gap Change in net worth using leveraged adjusted duration gap b. Consider the following. a. Calculate the leverage-adjusted duration gap of an Fl that has assets of $1.9 million invested in 25-year, 12 percent semiannual coupon Treasury bonds selling at par and whose duration has been estimated at 10.03 years. It has liabilities of $990,000 financed through a two-year, 9.00 percent semiannual coupon note selling at par. b. What is the impact on equity values if all interest rates fall 10 basis pointsthat is, AR/(1 + R/2) = -0.0010? (For all requirements, do not round intermediate calculations. Round your answers to 2 decimal places. (e.g., 32.16)) years Leveraged adjusted duration gap Change in net worth using leveraged adjusted duration gap b
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts
