Cash 65 225 185 375 335 Demand Deposits USS Denominated CDS (mature in 4 years) (par value $180) (interest paid annually at 3.25%) UK Pound Denominated CDs (par - BP205.00) (currently $1.6713/BP1.00) (interest paid annually at 1.45%) (mature in 4.0 years) Long-term Debt (mature in 6 months) (amortize monthly at 3.959) 250 Individual Loans (mature in 3.0 years) (par value = $375) (interest paid annually at 6.5%) Yen Zero Coupon Bonds (mature in 20.0 years) (par value = Yen33,000) (currently: Yen 101.40/$1.00) Mortgage Loans - Fixed Rate (mature in 30 years) (amortize monthly at 5.75%) Commercial Loans (mature in 2.0 years) (par value = $402.00) (interest paid quarterly at 6.5%) 195 185 205 Subordinated Debt (mature in 10 years) (amortize semiannually at 5.50%) 410 Equity 95 TOTAL ASSETS 1285 TOTAL LIABILITY & EQUITY 1285 For questions 1 - 10, assume that market interest rates increase instantaneously by 10 basis points for all affected a liabilities. Also assume that the FX exchange rate changes to $1.00/Yen 105.2 and $1.7555/BP1.00. 1. a. c. e. 2. c. Which is the most correct answer? The BP depreciated in value against the US dollar, and the UK CDs new value is $350.530787 million. b. The BP appreciated in value against the US dollar, and the UK CDs new value is $350.530787 million. The BP depreciated in value against the US dollar, and the UK CDs new value is $359.877500 million. d. The BP appreciated in value against the US dollar, and the UK CDs new value is $359.877500 million. The BP appreciated in value against the US dollar, and the UK CDs new value is BP365.564987 million. Which is the most correct answer? The Yen depreciated in value against the US dollar, and the Yen Zeros new value is $313.688213 million. b. The Yen appreciated in value against the US dollar, and the Yen Zeros new value is $313.688213 million. The Yen depreciated in value against the US dollar, and the Yen Zeros new value is $236.262255 million. d. The Yen appreciated in value against the US dollar, and the Yen Zeros new value is $236.262255 million. The Yen appreciated in value against the US dollar, and the Yen Zeros new value is Y237.486512 million. Which is the most correct answer? The US dollar depreciated in value against the Yen, and the Yen Zeros new value is $313.688213 million. b. The US dollar appreciated in value against the Yen, and the Yen Zeros new value is $313.688213 million. The US dollar depreciated in value against the Yen, and the Yen Zeros new value is $236.262255 million. The US dollar appreciated in value against the Yen, and the Yen Zeros new value is $236.262255 million. The US dollar appreciated in value against the Yen, and the Yen Zeros new value is Y237.486512 million. What is the duration of the Individual loans using the YTM on the market value balance sheet above? 2.583298 years Plyk N I/YR PU PMT 375 315 e. 3. a e. 4. a. 3.000000 vears
