Answers for Study Guide - Chapter 9

T-F-U, Explain
1. F (essays not included)
2. F
3. T
4. F
5. F
6. F

Problems
1.a. 1.909 years
b. 2.735 years
c. 2.78 years
d. 4 years
e. 3.42 years
f. 3.65 years
g. 2.38 years
h. 3.38 years

2. Duration of Bond A = 3.77 years
Duration of Bond B = 3.59 years

3. Price risk

4. a. Duration of Assets = 4.675 years
b. Duration of Liab = 1.25 years
c. $20m
d. $1.625m
e. $31.025m

5. a. $10.024m
b. $4.96m
c. $5.05m
d. Duration Assets = 9.57 years, Duration of Liab = 5 years
e. $1.44m
f. $7.80m
g. 19.34 years
h. 95.6% 20 year bonds, 4.4% 5 year bonds
i. $4.74m
j. $148.64
k. 31,888 bonds

6. a. $4m
b. 5.25 years
c. -$0.29m
d. -$4.58m
e. -$38.9m