Question
8. Use the following market-value balance sheet information to answer the following questions. Assets (in millions) Liabilities (in millions)_ __ Assets Duration=8 years $1000 Liab
8. Use the following market-value balance sheet information to answer the following questions.
Assets (in millions) Liabilities (in millions)_ __
Assets Duration=8 years $1000 Liab Duration=4 years $850
Equity $150
- What is the institution's leverage-adjusted duration gap?
- Now the interest rate is 6%. If next year the interest rate shifts upward 50 basis points (i.e., 0.5%), what is the impact on the FI's market value of equity?
- If the bank would like to use the Treasury bond futures to macrohedge its interest rate risk, should the bank buy or sell Treasury bond futures, why?
- Suppose that the bank macrohedges using Treasury bond futures that are currently priced at 98. (One Treasury bond futures contract has face value $100,000). Assume the Treasury bond has a duration of 5 years. How many Treasury bond futures contracts would be needed?
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Essentials Of Cost Accounting For Health Care Organizations
Authors: Steven Finkler, Judith Baker, David Ward
3rd Edition
0810235447, 9780763738136
