National Bank has assets of $820 million with duration 8.8, liabilities of $748million with duration 12.2...

Transcribed Image Text:

National Bank has assets of $820 million with duration 8.8, liabilities of $748million with duration 12.2 and equity of $72million. Market interest rates are 6%. How would you hedge the balance sheet of this bank with T-bond futures priced are $94-12 per $100 face value (each contract $100,000 face value) for the underlying 10-year, 5% coupon bonds paying semi-annual interest? O Sell 1,277 Futures O Buy 1.277Futures O Buy 2,555 Futures O Sell 2,555 Futures National Bank has assets of $820 million with duration 8.8, liabilities of $748million with duration 12.2 and equity of $72million. Market interest rates are 6%. How would you hedge the balance sheet of this bank with T-bond futures priced are $94-12 per $100 face value (each contract $100,000 face value) for the underlying 10-year, 5% coupon bonds paying semi-annual interest? O Sell 1,277 Futures O Buy 1.277Futures O Buy 2,555 Futures O Sell 2,555 Futures

Answer rating: 100% (QA)

The correct option ... View the full answer