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Assume that Blue Sunday Bank has $200 million of assets with an average duration of 1.6 years

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1.;Assume that Blue Sunday Bank has $200 million of assets with an average duration of 1.6 years;and liabilities of $100 million with an average duration of 1.95 years. Compute the current;duration gap of this bank. Assuming that U.S. Treasury bonds with a duration of 1.2 years are;currently quoted in the market at 98-16, explain the position (buy or sell) in a futures contract;(including the number of contracts) that the bank manager should take to eliminate interest rate;risk.;The following quotes will be used for the next two parts of this problem.;5-Year U.S. Treasury Bond Futures Contract Quotes from 6/27/2013;CBT $100,000, pts 32nd of 100%

 

Paper#26459 | Written in 18-Jul-2015

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