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In: Finance
Problem 3-40 (LG 3-4, LG 3-6) MLK Bank has an asset portfolio that consists of $120...
Problem 3-40 (LG 3-4, LG 3-6)
MLK Bank has an asset portfolio that consists of $120 million of
15-year, 12 percent coupon, $1,000 bonds with annual coupon
payments that sell at par.
a-1. What will be the bonds’ new prices if market
yields change immediately by ± 0.10 percent?
a-2. What will be the new prices if market yields
change immediately by ± 2.00 percent?
b-1. The duration of these bonds is 7.6282 years.
What are the predicted bond prices in each of the four cases using
the duration rule?
b-2. What is the amount of error between the
duration prediction and the actual market values?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
Please show all work. MLK Bank has an asset portfolio that consists of $100 million of...
Please show all work.
MLK Bank has an asset portfolio that consists of $100 million of
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annually) and $1,000 face value selling at par.
a) What will be the bonds’ new prices if market yields change
immediately by ± 0.05 percent? What will be the new prices if
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b) The duration of these bonds is 12.1608 years. What are the
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MLK Bank has an asset portfolio that consists of $100 million of 30-year, 8 percent annual...
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a-1. What will be the bonds’ new prices if market
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a-2. What will be the new prices if market yields
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MLK Bank has an asset portfolio that consists of $220 million of 15-year, 7 percent coupon,...
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MLK Bank has an asset portfolio that consists of $130 million of 15-year, 5.5 percent coupon,...
MLK Bank has an asset portfolio that consists of $130 million of
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payments that sell at par.
a-1. What will be the bonds’ new prices if market
yields change immediately by ± 0.10 percent?
a-2. What will be the new prices if market yields
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MLK Bank has an asset portfolio that consists of $170 million of 15-year, 9.5-percent-coupon, $1,000 bonds...
MLK Bank has an asset portfolio that consists of $170 million of
15-year, 9.5-percent-coupon, $1,000 bonds with annual coupon
payments that sell at par.
a1.
What will be the bonds’ new prices if market yields change
immediately by ± 0.10 percent? (Do not round intermediate
calculations. Round your answers to 2 decimal places. (e.g.,
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Bonds’
New Price
At + 0.10%
__$
At − 0.10%
____
a2.
What will be the new prices if market yields change immediately
by...
MLK Bank has an asset portfolio that consists of $150 million of 15-year, 7.5-percent-coupon, $1,000 bonds...
MLK Bank has an asset portfolio that consists of $150 million of
15-year, 7.5-percent-coupon, $1,000 bonds with annual coupon
payments that sell at par.
a-1.
What will be the bonds’ new prices if market yields change
immediately by ± 0.10 percent? (Do not round intermediate
calculations. Round your answers to 2 decimal places. (e.g.,
32.16))
Bonds’
New Price
At + 0.10%
$
At − 0.10%
a-2.
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Problem 22-9 (LG 22-3) Use the data provided for Gotbucks Bank, Inc., to answer this question....
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Use the data provided for Gotbucks Bank, Inc., to answer this
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Gotbucks Bank, Inc. (in $ millions)
Assets
Liabilities and Equity
Cash
$
42
Core deposits
$
49
Federal funds
32
Federal funds
62
Loans (floating)
117
Euro CDs
142
Loans (fixed)
77
Equity
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Total assets
$
268
Total liabilities and equity
$
268
Notes to the balance sheet: Currently, the fed funds rate is 9.7
percent. Variable-rate loans are priced at 5 percent...
Problem 22-9 (LG 22-3) Use the data provided for Gotbucks Bank, Inc., to answer this question....
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Use the data provided for Gotbucks Bank, Inc., to answer this
question.
Gotbucks Bank, Inc. (in $ millions)
Assets
Liabilities and Equity
Cash
$
42
Core deposits
$
49
Federal funds
32
Federal funds
62
Loans (floating)
117
Euro CDs
142
Loans (fixed)
77
Equity
15
Total assets
$
268
Total liabilities and equity
$
268
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percent. Variable-rate loans are priced at 5 percent...
Risky Asset A and Risky Asset B are combined so that the new portfolio consists of...
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