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FIN333 Bank has assets of 674 million Baht invested in a annual-coupon Government bond with the duration estimated at 6.55 years. The assets are financed
FIN333 Bank has assets of 674 million Baht invested in a annual-coupon Government bond with the duration estimated at 6.55 years. The assets are financed with equity and a 388 million Baht of three-year note with annual interest payments and the duration of 2.31 years. If the relative change in all market interest rates (Note: The relative change in interest rates is AR/(1+R)) is a decrease of 10 basis points, the impact on equity value is million Baht. (DO NOT round intermediate calculations. Round your answers to 2 decimal places.) The duration of the assets needs to be years to immunize the equity from changes in market interest rates. (DO NOT round intermediate calculations. Round your answers to 2 decimal places.)
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