Consider a deposit taking Financial intermediary with total assets of $449million and equity of $152.66 million. The duration of the assets is 7.28 and the duration of the liabilities is 3.71. The current yield to maturity is 4.20 percent. What is the dollar value change in the Fl's equity if there is a 0.50 percent change in the interest rates? (Signs are important. Round your answer to the nearest $1,000. That is, if your answer is $1,111,469 enter $1,111. Or if your answer is $1.111469 simply multiply it by 1000 and report $1,111.) In the questions below, the Fl wants its macro-hedge to offset all of its interest rate risk. Suppose that there are options available on Treasury Bonds (face value $100,000). The bonds underlying the options have a duratio of 7.69 years and sell at $1.052 per dollar of face value. The call options have a delta of 0.69 and the put options have a delta of 0.57 Both types of options expire in 13 weeks. What type of option do you use? O Put O Call Do you buy or sell this contract? O Sell O Buy How many contracts do you use? (round to the nearest whole contract) Suppose that there are futures contracts available on Treasury Bills (face value $1,000,000). The bills underlying the futures are 13 week Bills. The T-Bills sell at $0.972 per dollar of face value. Do you take a long or a short position in this contract? O Long O Short How many contracts do you use? (round to the nearest whole contract) SWAP contracts are also available. The duration of the fixed side of the contract is 6.74 years and the floating side makes annual payments. The notional principal required to completely hedge the Fl's interest rate risk is . (Signs are important. Round your answer to the nearest $1,000. That is, if your answer is $235,560,880.83 enter $235,561 as your answer.) Consider a deposit taking Financial intermediary with total assets of $449million and equity of $152.66 million. The duration of the assets is 7.28 and the duration of the liabilities is 3.71. The current yield to maturity is 4.20 percent. What is the dollar value change in the Fl's equity if there is a 0.50 percent change in the interest rates? (Signs are important. Round your answer to the nearest $1,000. That is, if your answer is $1,111,469 enter $1,111. Or if your answer is $1.111469 simply multiply it by 1000 and report $1,111.) In the questions below, the Fl wants its macro-hedge to offset all of its interest rate risk. Suppose that there are options available on Treasury Bonds (face value $100,000). The bonds underlying the options have a duratio of 7.69 years and sell at $1.052 per dollar of face value. The call options have a delta of 0.69 and the put options have a delta of 0.57 Both types of options expire in 13 weeks. What type of option do you use? O Put O Call Do you buy or sell this contract? O Sell O Buy How many contracts do you use? (round to the nearest whole contract) Suppose that there are futures contracts available on Treasury Bills (face value $1,000,000). The bills underlying the futures are 13 week Bills. The T-Bills sell at $0.972 per dollar of face value. Do you take a long or a short position in this contract? O Long O Short How many contracts do you use? (round to the nearest whole contract) SWAP contracts are also available. The duration of the fixed side of the contract is 6.74 years and the floating side makes annual payments. The notional principal required to completely hedge the Fl's interest rate risk is . (Signs are important. Round your answer to the nearest $1,000. That is, if your answer is $235,560,880.83 enter $235,561 as your answer.)
