Maurice Tutor

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    Argosy University/ Phoniex University/
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    Phoniex University
    Oct-2001 - Nov-2016

Category > Management Posted 07 Dec 2017 My Price 5.00

leverage-adjusted duration gap

Consider the following.

a. Calculate the leverage-adjusted duration gap of an FI that has assets of $1 million invested in 30-year, 10 percent semiannual coupon Treasury bonds selling at par and whose duration has been estimated at 9.94 years. It has liabilities of $900,000 financed through a two-year, 7.25 percent semiannual coupon note selling at par.

b. What is the impact on equity values if all interest rates fall 20 basis points—that is, ∆R /(1 R /2) = -0.0020?

 

 

 
 

Answers

Maurice Tutor
(5)
Status NEW Posted 07 Dec 2017 09:12 PM My Price 5.00

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