DurationAmount$75 million$750 millionAssetsRateCash1.75 years12 percent9 percentLoansTreasuries$175 million7.00 yearsLiabilities and EquityTime Deposits1.75 vears7 percent8 percent$350 millionCDs$575 million2.50 vearsEquityS75 millionCalculate the duration of the liabilities to four decimal places.O 1.75 years.2.22 years.2.125 years.2.50 years.2.05 years.

The duration of liabilities is calculated as sum of weighted average of duration of individual…

Assets Amount Rate Duration Cash $75 million Loans $750 million $175 million 12 percent 9 percent 1.75 years 7.00 years Treasuries Liabilities and Equity Time Deposits $350 million 7 percent 8 percent 1.75 years 2.50 years CDs $575 million Equity S75 million Calculate the duration of the liabilities to four decimal places. O 1.75 years. 2.22 years. 2.125 years. 2.50 years. O 2.05 years.

Assets Amount Rate Duration Cash $75 million Loans $750 million $175 million 12 percent 9 percent 1.75 years 7.00 years Treasuries Liabilities and Equity Time Deposits $350 million 7 percent 8 percent 1.75 years 2.50 years CDs $575 million Equity S75 million Calculate the duration of the liabilities to four decimal places. O 1.75 years. 2.22 years. 2.125 years. 2.50 years. O 2.05 years.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Use the following 8% interest factors 7 periods 8 periods 9 periods Select one: Present Value of Ordinary Annuity. a. $319,099 b. $267,687 C. $226,800 d. $172,398 5.2064 5.7466 6.2469 What will be the balance on September 1, 2029 in a fund which is accumulated by making $30,000 annual deposits each September 1 beginning in 2022, with the last deposit being made on September 1, 2027? The fund pays interest at 8% compounded annually. Future Value of Ordinary Annuity. 8.92280 10.63663 12.48756
Balance Sheet (dollars in thousands) and Duration (in years) Duration AmountT-bills. 0.5 $ 90T-notes 0.9 55T-bonds 4.393 176Loans 7 2,724Deposits. 1 2,092Fed. funds 0.01 238Equity 715What is the average duration of all the assets? What is the average duration of all the liabilities? What is the FI’s leverage-adjusted duration gap? What is the FI’s interest rate risk exposure? If the entire yield curve shifted upward 0.5 percent (i.e., ΔR/(1 + R) = 0.0050), what is the impact on the FI’s market value of equity? If the entire yield curve shifted downward 0.25 percent (i.e., ΔR/(1 + R) = −0.0025), what is the impact on the FI’s market value of equity?
281 CHAPTER 5 Time Value of Money P5-4 Future values For each of the cases shown in the following table, calculate the future value of the single cash flow deposited today and held until the end of the deposit period if the interest is compounded annually at the rate specified. om & 11812 01.0 ad nidhiw mua me on ai by $ 1971s asol si VE Single cash flow Deposit period (years) Case SETSSY 2195 Persona A ters Interest rate 5% Inuon ed W 8 $ 200 sub 4,500 20 B 7 10,000 9 av tho29 10 wibommangonquequada ot iw gnols oulevadogo inseng di telaio d ul 25,000 10 Inionen ediate 12 37,000 11 1 indoozib 5 40,000 12 loirbes an ear 9 he following rates of E
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