A bank holds the following assets: Asset Amount $Millions Duration 30-Year Fixed Mortgages 80 25 15-Year Floating Mortgages 40 1 C&I Loans 20 5 Cash 10 0 The bank has $140 Million in liabilities, which carry a duration of 3. Meanwhile, the T-Bond futures contract is currently trading at a quoted price of $103. Its duration is 8.5. If the bank wants to completely hedge its interest rate exposure, then should it go long or short the futures contract? How many contracts? Comment: Recall that T-Bond futures contracts represent par $100,000 underlying.

Suppose a bank enters a repurchase agreerment in which it agrees to sell Treasury securities to a correspondent bank at a price of $9.99,838 with the promise to buy them back at a price of $10.000,073. Calculate the yield on the repo if it has a 6-day maturity. (write your answer in percentage and round it to 2 decimal places)

A commercial bank invests in a loan with a current market value of $600,000 and a maturity of 3 years. The bank partially funds the loan by issuing a zero coupon bond with a maturity (principal) value of $450,000 and a duration of 3 years. The current market rate is 7% and interest rates are expected to increase by 1%. Which of the following statements is true? (a) The current equity value of the position is $150,000 and if interest rates increase the equity value will increase. (b) The current equity value of the position is $232,666 and if interest rates increase the equity value will increase. (c) The current equity value of the position is $232,666 and if interest rates increase the equity value will decrease. (d) The current equity value of the position is $150,000 and if interest rates increase the equity value will remain the same. (e) None of the given answers. The current equity value of the position is $232,666 and if interest rates increase the equity value will remain the…

The answer is given, I want to receive the work on how to get the correct answer.

Assume a bank has a $25 million mortgage bond risk position which it hedges in the Treasury bond futures market. Approximately how many futures contracts would be needed for this hedge if you assumed mortgage bonds and Treasury bonds were perfectly correlated? 2500 5 250 25 500

c. A bank enters a reverse repurchase agreement in which it agrees to buy treasury security from one of its correspondent bank at a price of 10 million with the promise to sell the securities back at a price of kshs. 10,008,548 after 5 days. Calculate bond the discount yield for the investing banks.

If the interest rates go up by 1%, using the duration and convexity rule to determine the net worth of the bank and the equity to asset ratio

An investment bank sells securities under a repurchase agreement for $800.438 million and buys them back in 7 days for $800.568 million. What is the repo's single payment yield?Report your answer in % to the nearest 0.01%;

A Bank offers both loans and deposits at a nominal  interest rate of 4% that is continuously compounded A) What is the effective rate offered by the bank?  B) The bank also offers a 3-year bond with face value £10000, redeemable at par, with 10% annual coupons. What is the final payment of that bond? C) Assuming there are no arbitrage opportunities, what is the price of the above bond?

Desert Trading Company has issued $100 million worth of long-term bonds at a fixed rate of 10%. The firm then enters into an interest rate swap where it pays SOFR and receives a fixed 5.2% on notional principal of $100 million. What is the firm's effective interest rate on its borrowing? Note: Enter value as positive amount. Round your answer to 1 decimal place. Effective interest rate %