问题描述:
A bank has two,3-year commercial loans with a present value of $70 million.The first is a $30 million loan that requires a single payment of $37.8 million in 3 years,with no other payments until then.The second is for $40 million.It requires an annual interest payment of $3.6 million.The principal of $40 million is due in 3 years,the general level of interest rates is 8%.
a.What is the duration of the bank’s commercial loan portfolio?
b.What will happen to the value of its portfolio if the general level of interest rates increased from 8% to 8.5%?
a.What is the duration of the bank’s commercial loan portfolio?
b.What will happen to the value of its portfolio if the general level of interest rates increased from 8% to 8.5%?
问题解答:
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