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UoA Bank has the following market value balance sheet (in millions, all interests at annual rates and paid annually). Assets $ Liabilities and Equity $
UoA Bank has the following market value balance sheet (in millions, all interests at annual rates and paid annually).
Assets | $ | Liabilities and Equity | $ |
2-year commercial loans, annual fixed rate at 5% , balloon payment | 250 | 3-year zero coupon bonds, annual fixed rate at 6.5% | 450 |
1-year zero coupon bond, annual coupon rate at 3% | 300 | Equity | 150 |
Note to the balance sheet : All securities are selling at par equal to book value, i.e current market interest rate of commercial loans is 5% p.a, current market interest rate of the 1-year zero coupon bond held is 3% p.a and current market interest rate of the 3-year zero coupon bonds issued is 6.5% p.a.
What is the bank's leverage adjusted duration gap and interest rate risk exposure (round your answer to two decimals)?
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