Use the following information (in US$ billions) in the table below to answer the following questions....

 

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Use the following information (in US$ billions) in the table below to answer the following questions. Assets a) b) T-Bills (Duration - 0.6) T-Notes (Duration - 0.95) T-Bonds (Duration - 5.5) Loans (Duration - 8.4) US$ 100 75 185 3,230 Liabilities Deposits (Duration - 1.1) Wholesale Funds (Duration - 0.05) Equity US$ 2,950 275 365 Calculate the average duration of the assets. Show your calculations in full. (5 marks) Calculate the average duration of the liabilities. Show your calculations in full. (5 marks) c) If the yield curve were to shift upwards by 0.75%, what would be the impact on the bank's equity value? (5 marks) d) If the yield curve were to shift downwards by 0.45%, what would be the impact on the bank's equity value? (5 marks) Use the following information (in US$ billions) in the table below to answer the following questions. Assets a) b) T-Bills (Duration - 0.6) T-Notes (Duration - 0.95) T-Bonds (Duration - 5.5) Loans (Duration - 8.4) US$ 100 75 185 3,230 Liabilities Deposits (Duration - 1.1) Wholesale Funds (Duration - 0.05) Equity US$ 2,950 275 365 Calculate the average duration of the assets. Show your calculations in full. (5 marks) Calculate the average duration of the liabilities. Show your calculations in full. (5 marks) c) If the yield curve were to shift upwards by 0.75%, what would be the impact on the bank's equity value? (5 marks) d) If the yield curve were to shift downwards by 0.45%, what would be the impact on the bank's equity value? (5 marks)

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Calculate the average duration of the assets Show your calculations in full The average duration of the assets is 34 years To calculate the average duration of the assets we first need to calculate th... View the full answer