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The following table shows the balance sheet of FIN333 Bank (THB millions): Consumer loans Commercial loans Total Assets 50,000,000 Deposits 200,000,000 Equity 250,000,000 Total Liabilities
The following table shows the balance sheet of FIN333 Bank (THB millions): Consumer loans Commercial loans Total Assets 50,000,000 Deposits 200,000,000 Equity 250,000,000 Total Liabilities and Equity 235,000,000 15,000,000 250,000,000 The average duration of the loans is 9 years. The average duration of the deposits is 4 years. You would (long / short) (Answer in a whole number without decimal point.) bond futures contracts to hedge the balance sheet if the duration of the deliverable bonds is 8 years and the current price of the futures contract is 97 percent of par? Basis risk shows that for every 1 percent shock to interest rates, i.e., AR/(1 + R) = 0.01, the implied rate on the deliverable bonds in the futures market increases by 1.1 percent, i.e., ARf/(1 + Rf) = 0.011 The contract size is 1,000,000. The following table shows the balance sheet of FIN333 Bank (THB millions): Consumer loans Commercial loans Total Assets 50,000,000 Deposits 200,000,000 Equity 250,000,000 Total Liabilities and Equity 235,000,000 15,000,000 250,000,000 The average duration of the loans is 9 years. The average duration of the deposits is 4 years. You would (long / short) (Answer in a whole number without decimal point.) bond futures contracts to hedge the balance sheet if the duration of the deliverable bonds is 8 years and the current price of the futures contract is 97 percent of par? Basis risk shows that for every 1 percent shock to interest rates, i.e., AR/(1 + R) = 0.01, the implied rate on the deliverable bonds in the futures market increases by 1.1 percent, i.e., ARf/(1 + Rf) = 0.011 The contract size is 1,000,000
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