What is the bank's leverage adjusted duration gap ? Assets 2-year corporate bonds, annual fixed rate...
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What is the bank's leverage adjusted duration gap ? Assets 2-year corporate bonds, annual fixed rate at 8% 2-year zero coupon bond, annual coupon rate at 5% $ tA 625 300 Liabilities and Equity 4-year zero coupon bonds, annual fixed rate 725 at 6.5% Equity LA $ 200 Note to the balance sheet : All securities are selling at par equal to book value, i.e current market interest rate of corporate bonds is 8% p.a, current market interest rate of the 2-year zero coupon bond held is 5% p.a and current market interest rate of the 4-year zero coupon bonds issued is 6.5% p.a. What is the bank's leverage adjusted duration gap ? Assets 2-year corporate bonds, annual fixed rate at 8% 2-year zero coupon bond, annual coupon rate at 5% $ tA 625 300 Liabilities and Equity 4-year zero coupon bonds, annual fixed rate 725 at 6.5% Equity LA $ 200 Note to the balance sheet : All securities are selling at par equal to book value, i.e current market interest rate of corporate bonds is 8% p.a, current market interest rate of the 2-year zero coupon bond held is 5% p.a and current market interest rate of the 4-year zero coupon bonds issued is 6.5% p.a.
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To calculate the banks leverageadjusted duration gap we need to calculate the duration of assets and ... View the full answer
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
Posted Date:
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