Asset 1, a long position in a bond that makes semi-annual coupon payments and returns...
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Accounting
Asset 1, a long position in a bond that makes semi-annual coupon payments and returns the principal at maturity.
- face value: $75 million
- maturity: 15 years
- coupon rate: 6%
- yield to maturity: 5%
Asset 2, a short position in a zero coupon bond that has
-fave value: $150 million
- maturity 12 years
- yield to maturity: 6%
Asset 3, a long position in an amortized loan that has
- face value $50 million
- maturity: 10 years
- interest rate: 7%
- yield to maturity 8%
Compute the value and modified duration of each asset from questions 1-3.
Compute the value and modified duration of the financial institutions debt portfolio.
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