Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Use the following to answer questions 1-19. ($ million) Liabilities: 1 year Certificates of Deposit $ 825m 5 year Bonds 70m Bank of Baruch Assets:
Use the following to answer questions 1-19. ($ million) Liabilities: 1 year Certificates of Deposit $ 825m 5 year Bonds 70m Bank of Baruch Assets: 91 day US Treasury bills $ 150m 2 year commercial loans $ 75m Fixed rate, 9% p.a. annually 10 year corporate loans-floating rate: LIBOR+50bp, semiannual roll date $ 505m 10 year floating rate mortgages quarterly roll dates $ 600m Overnight Fed Funds 91-day Commercial Paper Equity 100m 270m 65m Notes: Commercial paper is a pure discount instrument. The 5 year bonds pay 8.5% p.a. semiannually with a yield of 7.5% p.a. and have a duration of 4.2 years. The 1 year Certificates of Deposit pay 2.75% p.a. annually. All values are market values. 1. What is the duration of the floating rate mortgages? a. 0.25 years b. 10 years c. 2 years d. 0.5 years e. There is not enough information to answer the question. What is the duration of the 1 year Certificates of Deposit if they pay 2.75% p.a. interest, compounded annually? a. 0.25 years b. 1 year c. 2 years d. 0.5 years e. There is not enough information to answer the
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started