3. Spring Bank has assets totaling $180 million with a duration of 5 years, and liabilities...
Suppose the First National Bank of Duluth has $500.00 million in total assets with an average asset duration of five years. Assume that the bank’s liabilities are comprised of $86.75 million of demand deposits and $163.75 million in bonds with a 4.00% coupon rate (which pays annually) and a five year time-to-maturity. Further assume that current market interest rates are at 9.00% per annum. What is this bank’s duration gap? Is the bank asset- or liability-sensitive?
3.
Hedge Row Bank has the following balance sheet (in millions): $ 189 $210 Liabilities Assets Equity 21 $ 210 $210 Total Total The duration of the assets is 7 years and the duration of the liabilities is 5 years. The bank is expecting interest rates to fall from 10 percent to 9 percent over the next year. a. What is the duration gap for Hedge Row Bank? (Round your answer to 2 decimal places. (e.g., 32.16)) b. What is...
5.
Village Bank has $210 million worth of assets with a duration of 14 years and liabilities worth $168 million with a duration of four years. In the interest of hedging interest rate risk, Village Bank is contemplating a macrohedge with interest rate T-bond futures contracts now selling for 102-20 (30nds). The T-bond underlying the futures contract has a duration of nine years. If the spot and futures interest rates move together, how many futures contracts must Village Bank sell...
(2.)Suppose the First National Bank of Duluth has $500.00 million in total assets with an average asset duration offive years. Assume that the bank’s liabilities are comprisedof $86.75 million of demand deposits and $163.75 million inbonds with a 4.00% coupon rate (which pays annually) and a fiveyear time-to-maturity. Further assume that currentmarket interest rates are at 9.00% per annum. (a.)(2 point) Calculate the duration of the bank’s bonds.
First Duration Bank has the following assets and liabilities
on its balance sheet.
What is the duration of the commercial loans?
First Duration Bank has the following assets and liabilities on its balance sheet Rate Liabilities Par Amount $450 million 70 Par Amount 2-year commercial $400 million loans al fired rate at par 1-year Treasury bulls S100 million 10°. I ar CDs al feed raalpur Net Worth $50 million 7. What is the duration of the commercial loans? A 1.00...
Hedge Row Bank has the following balance sheet (in millions): Assets $135 $150 Liabilities Equity $150 Total 15 Total Sise The duration of the assets is 6 years and the duration of the liabilities is 4 years. The bank is expecting interest rates to fall from 10 percent to 9 percent over the next year. a. What is the duration gap for Hedge Row Bank? (Round your answer to 1 decimal place. (e.g.. 32.1)) b. What is the expected change...
Hedge Row Bank has the following balance sheet (in millions): Assets $170 Liabilities $102 Equity 68 Total $170 Total $170 The duration of the assets is 7 years and the duration of the liabilities is 5.2 years. The bank is expecting interest rates to fall from 10 percent to 9 percent over the next year. a. What is the duration gap for Hedge Row Bank? (Round your answer to 2 decimal places. (e.g., 32.16)) THE ANSWER FOR PART A IS...
(a) A Bank has a bond with a maturity of 4 years. The coupon rate of the bond is 8%, the yield to maturity is 9%, and the face value is 1 million dollars. Interest payment will be paid annually. Determine the price (present value) and duration of the bond. (9 marks) (b) Predict the change in the bond price if interest rates rise by 100 basis points based on the duration of the bond that you have calculated in...
Hedge Row Bank has the following balance sheet (in millions Assets $150 Liabilities _Equity $150 Total Total The duration of the assets is 6 years and the duration of the liabilities is 4 years. The bank is expecting interest rates to fall from 10 percent to 9 percent over the next year. a. What is the duration gap for Hedge Row Bank? (Round your answer to 1 decimal place. (e.g. 32.1)) b. What is the expected change in net worth...
Row Bank has assets of $150 million, liabilities of $135 million, and equity of $15 million. The duration the assets is two years and the duration of the liabilities is ten years. Row Banks has a __adjusted duration gap. A position in T-bond futures should be used to hedge the interest rate risk Select one: O a. negative; short b. negative; long c. positive; short d. positive; long