Question
Gladiator Bank has the following assets and liabilities: Assets Liabilities + Equity Reserves (cash) 15,000 5 year CD Coupon=5% Face=40,000 4 year loan Coupon=10% Face=25000
Gladiator Bank has the following assets and liabilities:
Assets | Liabilities + Equity | ||
Reserves (cash) | 15,000 | 5 year CD Coupon=5% Face=40,000 |
|
4 year loan Coupon=10% Face=25000 |
| Demand deposits Maturity=1 year Coupon=7% Face=20,000 |
|
20 year loan Coupon=8% Face=100,000 |
| 10 year CD Coupon=3% Face=125,000 |
|
10 year T-bond Coupon=4% Face=75,000 |
| Equity |
|
a. Determine the market value of all assets, liabilities, and equity given R=7%. (Round data to two decimal points).
b. Calculated the duration of each asset and liability. (Ignore convexity). (Round data to 4 decimal points).
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