The modified duration (MD) of a $100,000 20 year, 7 percent coupon Treasury bond selling at paris 12.743 years. The bond's interest is paid semiannually, and the bond qualifies for delivery against the Treasury bond futures contract What is the impact on the Treasury bond price if market interest rates increase 60 bps? O $12,743.00 O $7.645,80 O-$7,454.66 O $76,458.00 5 pts D Question 2 The modified duration (MD) of a $100,000 20-year, 7 percent coupon Treasury bond selling at paris 12.743 years. The bond's interest is paid semiannually, and the bond qualifies for delivery against the Treasury bond futures contract. If you sold a Treasury bond futures contract at 97.5 (97.5% of par) and interest rates rose 60 basis points, what would be the change in the value of your futures position? O $12,743.00 O $7,454.66 O $76,458.00 O $7,645.80 5 pts D Question 3 A stock has the following characteristics: So= $32, r=0.07, T = 9 months, Dividend Yield -0.02 (annual compounding) What is the Futures price? O $33.64 O $1.60 $33.22 O $1.20 D The next 4 questions are related to each other...you may need to refer to information contained in this set of questions to answer them correctly. 5 pts D Question 4 Equity Consider the following balance sheet (in millions) for an FI: Assets Liabilities Duration - 9 years($860) Duration = 2 years($760) What is the Fi's duration gap? $100 Question 4 Consider the following balance sheet (in millions) for an FI: Assets Liabilities Equity Duration - 9 years($860) Duration - 2 years($760) $100 What is the Fl's duration gap? O 7.00 years O 7.23 years O -723 years 0 -7.00 years D Question 5 6 p Consider the following balance sheet in millions) for an Fl: Assets Liabilities Equity Duration = 9 years($860) Duration - 2 years(5760) $100 What is the impact on the Fi's equity value if the relative change in interest rates is an increase of 2 percent? That is, (Change in R)/(1+R) = 0.02. -$109,896,000 O $-124,356,000 -$121917,647 0-5106,400.000 6 pts D Question 6 Consider the following balance sheet (in millions) for an FI: Assets Liabilities Equity Duration - 9 years($860) Duration - 2 years($760) $100 Suppose that the Fl macrohedges using Treasury bond futures that are currently priced at 97. What is the impact on the Fi's futures position if the relative change in all interest rates is an increase of 2 percent? That is, (Change in R)/(1+R) = 0.02. Assume that the deliverable Treasury bond has a duration of 8.5 years. $16,167 per contract O $17.000 per contract $16,490 per contract $14,026 per contract 6 pts D Question 7 Using your answers/information from the previous 3 questions... of the Fl wanted to attempt a perfect macrohedge, how many Treasury bond futures contracts does it need? O 10,197 contracts 8,866 contracts O 6,493 contracts 0 7.541 contracts
