Citrix Fund $($or its net worth$)$ is obviously $$5\mathrm{.}50$ million. The market$-$value balance sheet summarizes this information: $.$

Assume that the current yield curve is flat at $5\mathrm{.}9\%.$ You have been hired by the board of directors to evaluate the risk of this fund.

Citrix Fund? What would happen to the value of the liabilities? What can you conclude about the change in the value of the equity under these conditions?

b$.$ What is the initial duration of the Citrix Fund $($i$.$e$.,$ the duration of the equity$)?$

need to liquidate and reinvest to minimize the fund's interest rate sensitivity$?$

the swap you should enter into? Should you receive or pay the fixed rate portion of the swap?

Citrix Fund?

The $\%$change is $\%.($Round to two decimal places.$)$

The drop in value is $ million. $($Round to two decimal places.$)$

Data table

What would happen to the value of the liabilities?

For the liabilities the $\%$change is$\_\%.($Round to two decimal places.$)$

$($Click on the following icon $$ in order to copy its contents into a spreadsheet.$)$

The drop in value is $ million. $($Round to two decimal places.$)$

What can you conclude about the change in the value of the equity under these conditions?

Assets

Goverment Bonds

duration $=13\mathrm{.}6$

Total

Total

$$44,920,000$

$$44,920,000$

Liabilities $($Debt$)$ and Equity

Short$-$ and $$39,420,000$

Long$-$Term Debt

$($duration $=3\mathrm{.}6)$

$\backslash$table$[[$Equity$,$$$5,500,000$