You manage a $500M portfolio with the duration 6.187 yrs. You have this: ZB, T-bond $100,000...
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You manage a $500M portfolio with the duration 6.187 yrs. You have this: ZB, T-bond $100,000 par value 30 year ZB, 30-year Treasury bond ($3,850, $3,500). ZB duration = 5 years. How many contracts are needed to decrease the duration to negative 2.00? What is the margin requirement?< a. Calculate the impact to the portfolio if the interest rate rises 1%.< b. Calculate the impact to the futures if the interest rate rises by 1%. [using -2 duration]< c. Calculate the impact to portfolio if the market rises by 1%. [using -2 duration]< d. Does a + b = c?< You manage a $500M portfolio with the duration 6.187 yrs. You have this: ZB, T-bond $100,000 par value 30 year ZB, 30-year Treasury bond ($3,850, $3,500). ZB duration = 5 years. How many contracts are needed to decrease the duration to negative 2.00? What is the margin requirement?< a. Calculate the impact to the portfolio if the interest rate rises 1%.< b. Calculate the impact to the futures if the interest rate rises by 1%. [using -2 duration]< c. Calculate the impact to portfolio if the market rises by 1%. [using -2 duration]< d. Does a + b = c?<
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To decrease the duration of the portfolio to 200 we need to use futures contracts on the 30year Trea... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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