Use the following December 31, 2021, market value balance sheet for Bank One to answer the...

Transcribed Image Text:

Use the following December 31, 2021, market value balance sheet for Bank One to answer the questions below. Assets (in thousands of Liabilities and Equity (in $s) Value Duration thousands of $s) Value Duration $ NOW T-bills 1,500 0.75 $ Accounts 6,250 0.50 T- $ $ CDs bonds 4.250 9.50 7,500 7.55 $ Loans LA 5 Federal $ 15,500 12.50 Funds 5.500 0.10 S $ +A Total Equity 21,250 2,000 $ Total 21,250 13 3. Calculate the number of futures contracts needed to hedge the bank's interest rate risk (round to the nearest whole contract). Use the following December 31, 2021, market value balance sheet for Bank One to answer the questions below. Assets (in thousands of Liabilities and Equity (in $s) Value Duration thousands of $s) Value Duration $ NOW T-bills 1,500 0.75 $ Accounts 6,250 0.50 T- $ $ CDs bonds 4.250 9.50 7,500 7.55 $ Loans LA 5 Federal $ 15,500 12.50 Funds 5.500 0.10 S $ +A Total Equity 21,250 2,000 $ Total 21,250 13 3. Calculate the number of futures contracts needed to hedge the bank's interest rate risk (round to the nearest whole contract).