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?
Chapter7: Types And Costs Of Financial Capital
Section: Chapter Questions
Problem 2EP
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j1
![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?](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Ff8bf9b5e-61b7-47da-b1b0-4bc2909a9fb9%2Fd6926097-6513-445f-9a0d-7a3c06a62016%2Fa24e5e8_processed.jpeg&w=3840&q=75)
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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