Assume an FI has assets of $250 million and liabilities of $200 million. The duration of the

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Assume an FI has assets of $250 million and liabilities of $200 million. The duration of the assets is six years and the duration of the liabilities is three years. The price of the futures contract is $115,000 and its duration is 5.5 years.
a. What number of futures contracts is needed to construct a perfect hedge if br = 1.10?
b. If (Rf/(1+Rf) = 0.0990, what is the expected (R/(1+R)?
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Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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