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Question Four bank has provided you with the following balance sheet information: Balance Sheet (in millions) and Duration (in vears) Amount $900 5,550 1,760 27,240
Question Four bank has provided you with the following balance sheet information: Balance Sheet (in millions) and Duration (in vears) Amount $900 5,550 1,760 27,240 20,920 2,380 7,150 Duration 0.5 0.9 4.393 T-Bills T-notes T-bonds Loans Deposits Money market funds Bought Equity 0.01 Required ) Calculate the average duration of all the assets. (7 marks) (3 marks) (5 marks) i) What is the average duration of all the liabilities? ii) Calculate the bank's leverage adjusted duration gap. What is the institutions interest rate iv) If the entire yield curve shifted upwards 0.5% (ie. AR/(1+R) = 0.005), what is the impact v) If the entire yield curve shifted downwards 0.25%, what is the impact on the bank's risk exposure. on the bank's market value of equity? (5 marks) (5 marks) [Total: 25 marks market value of equity? Page 3 of 3
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