Use this balance sheet information to answer the following questions: Balance Sheet (Amount in millions, Duration...
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Use this balance sheet information to answer the following questions: Balance Sheet (Amount in millions, Duration in years) Duration Liabilities Assets Amount Amount Duration Cash 340 Core Deposits 350 Treasury Bills Loans (hybrid) Loans (variable) Loans (fixed) 0.25 yrs Euro CDs 1.75 yrs Debentures A 0.5 yrs Debentures B 3.5 yrs Equity 1.5 yrs 1.0 yrs 3.0 yrs 5.0 yrs 120 495 500 300 310 275 275 ? AR The ALCO committee believes that = -0.01 would be a reasonable estimate of 1+R relevant interest rate movements. If the 90-day bank bill futures are quoted at 97.0 and there is no basis risk calculate the number of future contracts to macro-hedge the bank's balance sheet. Show all calculations and specifically state whether a short or long position is recommended. Use this balance sheet information to answer the following questions: Balance Sheet (Amount in millions, Duration in years) Duration Liabilities Assets Amount Amount Duration Cash 340 Core Deposits 350 Treasury Bills Loans (hybrid) Loans (variable) Loans (fixed) 0.25 yrs Euro CDs 1.75 yrs Debentures A 0.5 yrs Debentures B 3.5 yrs Equity 1.5 yrs 1.0 yrs 3.0 yrs 5.0 yrs 120 495 500 300 310 275 275 ? AR The ALCO committee believes that = -0.01 would be a reasonable estimate of 1+R relevant interest rate movements. If the 90-day bank bill futures are quoted at 97.0 and there is no basis risk calculate the number of future contracts to macro-hedge the bank's balance sheet. Show all calculations and specifically state whether a short or long position is recommended.
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Answer rating: 100% (QA)
Asset labelitics O 340 120 5003lo 275 360t49530o275E 1... View the full answer
Related Book For
Federal Tax Research
ISBN: 9781285439396
10th edition
Authors: Roby Sawyers, William Raabe, Gerald Whittenburg, Steven Gill
Posted Date:
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