Calculate the leverage-adjusted duration gap of an FI that has assets of $2.9 million invested in...

Calculate the leverage-adjusted duration gap of an FI that has assets of $2.9 million invested in 25-year, 13 percent semiannual coupon Treasury bonds selling at par and whose duration has been estimated at 10.13 years. It has liabilities of $1,090,000 financed through a two-year, 8.00 percent semiannual coupon note selling at par. b. What is the impact on equity values if all interest rates fall 10 basis points—that is, ΔR/(1 + R/2) = –0.0010? (For all requirements, do not round intermediate calculations. Round your answers to 2 decimal places. (e.g., 32.16))

a. Leveraged adjusted duration gap years

b. Change in net worth using leveraged adjusted duration gap

Solutions

Expert Solution

a) 9.42

b) $27,319.58

Explanation:

The result of the above table is as follows :

jeff jeffy answered 1 year ago

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