Assets Market Value 000s Rate Duration (Years) Liabilities and Equity Market Value 000s Rate Duration (Years) Cash $ 1,175 DDA Depposits $ 2,875 0.75% 1.05
| Assets | Market Value 000s | Rate | Duration (Years) | Liabilities and Equity | Market Value 000s | Rate | Duration (Years) |
| Cash | $ 1,175 | DDA Depposits | $ 2,875 | 0.75% | 1.05 | ||
| Consumer Loans (4-year variable rate) | $ 1,750 | 3.50% | 3.90 | Time Deposits | $ 2,350 | 1.85% | 2.75 |
| Consumer Loans (3-year variable rate) | $ 2,295 | 2.75% | 2.95 | CD's | $ 2,295 | 3.65% | 4.15 |
| Commercial Loans (5-year variable rate) | $ 2,555 | 3.25% | 4.85 | MMDAs | $ 2,250 | 2.15% | 2.25 |
| Bonds A | $ 986 | 4.15% | 3.77 | ||||
| Bonds B | $ 983 | 4.75% | 4.56 | Equity | $ (27) | ||
| Total | $ 9,743 | 3.508 | $ 9,743 | 2.463 |
The bank would like to hedge its balance sheet for 3-months. The bank is concerned rates will increase.
Eurodollars futures with 3-month maturity from today: 98.55 1.45%
What is the market value of futures and how many futures contracts will be required?
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Authors: William Brueggeman, Jeffrey Fisher
17th Edition
1264072945, 978-1264072941
