Question
The following balance sheet information is available (amounts in thousands of dollars and duration in years) for a financial institution: T-notes Amount $90 Duration
The following balance sheet information is available (amounts in thousands of dollars and duration in years) for a financial institution: T-notes Amount $90 Duration 0.50 T-notes $55 0.90 T-bonds (5 year) $176 x Loans $2724 7.00 Deposits $2092 1.00 Interbank borrowings Equity $238 0.01 $715 Treasury Bonds are five-year maturities paying 6 per cent coupon semi-annually. The sum of its time-weighted PV of cash flows is $773.18. What is the forecasted impact on the market value of equity caused by an increase in interest rates R such that AR/(1+ R) = 0.01?
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Get StartedRecommended Textbook for
Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
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