An FI has DA = 2.45 years and DL = 1.97 years. The FI has total...
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An FI has DA = 2.45 years and DL = 1.97 years. The FI has total assets equal to $375 million and total liabilities equal to $225 million. The FI wishes to fully immunize its balance sheet by hedging with T-bond futures that have a market value of $115,000 and a duration of 5 years. How many contracts are needed and should the FI buy or sell them? An FI has DA = 2.45 years and DL = 1.97 years. The FI has total assets equal to $375 million and total liabilities equal to $225 million. The FI wishes to fully immunize its balance sheet by hedging with T-bond futures that have a market value of $115,000 and a duration of 5 years. How many contracts are needed and should the FI buy or sell them?
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To fully immunize its balance sheet the financial institution FI needs to match the duration of its ... View the full answer
Related Book For
Managerial Accounting Decision Making and Performance Management
ISBN: 978-0273764489
4th edition
Authors: Ray Proctor
Posted Date:
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