Calculate the duration of each of the groups of securities

Assignment Help Accounting Basics

Reference no: EM132843580

Question - A major bank is to sell securities from an existing security portfolio to ensure it has sufficient liquid funds available over the next one-month planning period. The bank wishes to sell a group of securities with the higher interest rate risk. Using the data below:

Eurobonds, face value $30 million, four years to maturity, fixed annual coupon of 9.25 per cent per annum.

Corporate bonds, face value $30 million, three years to maturity, fixed annual coupon of 10.40 per cent per annum.

Current yields on these securities are 9.60 per cent per annum and 10.85 per cent per annum respectively.

Required -

a. Calculate the duration of each of the groups of securities. Show all calculations.

b. Which securities will the investor sell?

Reference no: EM132843580

Questions Cloud

Statements about residual analysis for simple linear : Say whether the following statements about residual analysis for simple linear regression are true or false and explain your answers.

Operations management in your organization : A brief description of the organization and industry they selected. At least four key concepts relevant to Operations Management in your organization

How much money should the company invest today : A company needs to have $100,000 in the bank, How much money should the company invest today with an expected rate of return of 10% compounded semi-annually?

What is the probability that at least one of the marriages : If you randomly select 9 recently married couples what is the probability that at least one of the marriages will end in divorce?

Calculate the duration of each of the groups of securities : Eurobonds, face value $30 million, four years to maturity, fixed annual coupon of 9.25 per cent per annum. Calculate duration of each of groups of securities

What null and alternative hypotheses make sense here : We don't believe that claim, and roll the die 200 times to test an appropriate hypothesis. Our p-value turns out to be 0.03.

How much ordering and receiving overhead is assigned : Direct labor hours used on each product are 50000 for P1, 40000 for Q2, and 110000 for R3. How much ordering and receiving overhead is assigned to each product?

Emerging economies and globalization : Markets in developed economies are approaching saturation level. Therefore, MNCs are searching for new untapped markets in emerging countries such as India

Comment on the dangers of using exit polling : Exit polling is a popular technique used to determine the outcome of an election prior to results being tallied. Suppose a eferendum to increase funding

User Account

All Pages