Ubu Bank has the following market value balance sheet (in millions, all interests at annual rates and paid annually). Assets 2-year corporate bonds, annual fixed rate at 3.5% 2-year zero coupon bond, annual coupon rate at 3% 825 300 Liabilities and Equity 4-year zero coupon bonds, annual fixed rate at 2.5% Equity 700 425 Note to the balance sheet : All securities are selling at par equal to book value, i.e current market interest rate of corporate bonds is 3.5% p.a, current market interest rate of the 2-year zero coupon bond held is 3% p.a and current market interest rate of the 4-year zero coupon bonds issued is 2.5% p.a. What is the bank's leverage adjusted duration gap? Round your final answer to 2 decimal places. E.g. if the final answer is -3.59 years, type -3.59 in the answer box. If the final answer is 3.59 years, type 3.59 in the box.
Ubu Bank has the following market value balance sheet (in millions, all interests at annual rates and paid annually). Assets 2-year corporate bonds, annual fixed rate at 3.5% 2-year zero coupon bond, annual coupon rate at 3% 825 300 Liabilities and Equity 4-year zero coupon bonds, annual fixed rate at 2.5% Equity 700 425 Note to the balance sheet : All securities are selling at par equal to book value, i.e current market interest rate of corporate bonds is 3.5% p.a, current market interest rate of the 2-year zero coupon bond held is 3% p.a and current market interest rate of the 4-year zero coupon bonds issued is 2.5% p.a. What is the bank's leverage adjusted duration gap? Round your final answer to 2 decimal places. E.g. if the final answer is -3.59 years, type -3.59 in the answer box. If the final answer is 3.59 years, type 3.59 in the box.
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
Problem 1PS
Related questions
Question
please help asap
Transcribed Image Text:Ubu Bank has the following market value balance sheet (in millions, all interests at annual rates and
paid annually).
Assets
2-year corporate bonds, annual fixed
rate at 3.5%
2-year zero coupon bond, annual coupon
rate at 3%
825
300
Liabilities and Equity
4-year zero coupon bonds, annual
fixed rate at 2.5%
Equity
$
700
425
Note to the balance sheet : All securities are selling at par equal to book value, i.e current market
interest rate of corporate bonds is 3.5% p.a, current market interest rate of the 2-year zero coupon
bond held is 3% p.a and current market interest rate of the 4-year zero coupon bonds issued is
2.5% p.a.
What is the bank's leverage adjusted duration gap?
Round your final answer to 2 decimal places.
E.g. if the final answer is -3.59 years, type -3.59 in the answer box. If the final answer is 3.59 years,
type 3.59 in the box.
Expert Solution
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step by step
Solved in 3 steps with 2 images
Knowledge Booster
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.Recommended textbooks for you
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
Foundations Of Finance
Finance
ISBN:
9780134897264
Author:
KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:
Pearson,
Fundamentals of Financial Management (MindTap Cou…
Finance
ISBN:
9781337395250
Author:
Eugene F. Brigham, Joel F. Houston
Publisher:
Cengage Learning
Corporate Finance (The Mcgraw-hill/Irwin Series i…
Finance
ISBN:
9780077861759
Author:
Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:
McGraw-Hill Education