FINEC Financial Management Control

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Uploaded: 22.02.2012
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Consider two bonds with a coupon rate of 10% and a nominal value of 1 000 USD One of them has a maturity of 4 years, the other - 15 years. Assuming that the bond yield will rise from 10% to 14%, calculate the actual value of the bonds both before and after the change in interest rates. Explain the differences in the changes in exchange bonds. What is the bond carries a high interest rate risk for the bank?
The Bank maintains a portfolio of bonds with the following 4 lengths and proportions:
The portfolio of the bank has 4 bonds. Rank the duration of the bonds. Explain the reasoning (quite logical reasoning without direct calculations).
Explain why hedge banking porfelya in duration allows the bank to be sure that he will be able to fulfill its obligations under the liabilities in the specified period.
What are the advantages and disadvantages of expected payments to the bank through the harmonization of financial flows in comparison with the duration of the agreement?
The bank has to its credit a loan of 1,050 units with a final maturity of 4 years, income 20% per annum, and 5-year treasury bonds of 300 units, income-17% per annum. The bank pays interest on one-year time deposits in 780 units at the rate of 10% per annum, and 4-year certificates of deposit in 600 units at the rate of 13% per annum. The bank's capital - 120 units, cash - 150 units. The bank has just opened and all the balance sheet accounts - the market value.
Calculate the expected interest income and bank DGAP. How will the NII and the market value of the assets, liabilities and equity, if there is a one percent increase in interest rates?
Suggest an option hedging portfolio. Show that an increase in interest rates by 1% equity and net interest income of the bank will not change.
The bank has to its credit a loan of 1,260 units with a final maturity of 3 years, income 25% per annum, and 4 years

Additional information

Total 15 decided in the control task. Scope of work - 34 pages


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