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Sun Rise Bank holds assets and liabilities whose average durations and pounds amounts are shown in this table: Average Duration (Years) Assets and Liability Items Amount (£) (Millions) Investment-grade bonds Commercial Loans 19.00 75.00 8.00 300.00 Consumer Loans 9.00 450.00 Deposits Non-Deposit Borrowings 3.00 700.00 1.00 50.00 a. What is the weighted average duration of Sun Rise Bank's: i) ii) Asset portfolio? Liability portfolio? b. What is the leverage-adjusted duration gap of Sun Rise Bank?

Sun Rise Bank holds assets and liabilities whose average durations and pounds amounts are shown in this table: Average Duration (Years) Assets and Liability Items Amount (£) (Millions) Investment-grade bonds Commercial Loans 19.00 75.00 8.00 300.00 Consumer Loans 9.00 450.00 Deposits Non-Deposit Borrowings 3.00 700.00 1.00 50.00 a. What is the weighted average duration of Sun Rise Bank's: i) ii) Asset portfolio? Liability portfolio? b. What is the leverage-adjusted duration gap of Sun Rise Bank?

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Sun Rise Bank holds assets and liabilities whose average durations and pounds amounts are shown in this table: Average Duration (Years) Amount (£) (Millions) Assets and Liability Items Investment-grade bonds Commercial Loans 19.00 75.00 8.00 300.00 Consumer Loans 9.00 450.00 Deposits Non-Deposit Borrowings 3.00 700.00 1.00 50.00 a. What is the weighted average duration of Sun Rise Bank's: i) ii) Asset portfolio? Liability portfolio? b. What is the leverage-adjusted duration gap of Sun Rise Bank?
Transcribed Image Text:Sun Rise Bank holds assets and liabilities whose average durations and pounds amounts are shown in this table: Average Duration (Years) Amount (£) (Millions) Assets and Liability Items Investment-grade bonds Commercial Loans 19.00 75.00 8.00 300.00 Consumer Loans 9.00 450.00 Deposits Non-Deposit Borrowings 3.00 700.00 1.00 50.00 a. What is the weighted average duration of Sun Rise Bank's: i) ii) Asset portfolio? Liability portfolio? b. What is the leverage-adjusted duration gap of Sun Rise Bank?
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