Consider a bank with the following balance sheet (M means million): Assets Value Duration of the Asset Convexity of the Asset 5yr bond bought at a yield of 3.4% (lending money) $550M 4.562 12.026 12yr bond bought at a yield of 4% (lending money) $800M 9.453 53.565 Liabilities Value Duration of the Liability Convexity of the Liability 2yr bond sold at a yield of 2.4% (borrowing money) $300M 1.941 2.384 4yr bond sold at a yield of 2.8% (borrowing money) $500M 3.759 8.206 Calculate the equity (total asset – total liability) to asset ratio of the bankCalculate the duration and convexity of the both asset and liability sides;

Consider a bank with the following balance sheet (M means million): Assets Value Duration of the Asset Convexity of the Asset 5yr bond bought at a yield of 3.4% (lending money) $550M 4.562 12.026 12yr...

Consider a bank with the following balance sheet (M means million):

Assets	Value	Duration of the Asset	Convexity of the Asset
5yr bond bought at a yield of 3.4% (lending money)	$550M	4.562	12.026

12yr bond bought at a yield of 4%

(lending money)

$800M

9.453

53.565

Liabilities	Value	Duration of the Liability	Convexity of the Liability
2yr bond sold at a yield of 2.4% (borrowing money)	$300M	1.941	2.384
4yr bond sold at a yield of 2.8% (borrowing money)	$500M	3.759	8.206

Calculate the equity (total asset – total liability) to asset ratio of the bank

Calculate the duration and convexity of the both asset and liability sides;

Jun 02, 2022