Suppose it is Jan 1st, and the futures price for August 1st delivery of a 1-year zero-coupon government T-bill is $96/$100FV. The size of one contract is for $1M face value If your bank goes long 20 contracts, is this a bet that interest rates are going to increase, or decrease? (type ‘increase’ or ‘decrease’) If your bank goes long 20 contracts, and the price of the August 1st future increases to $97, how much money is the bank up in this contract? The current $-Duration of a bank’s assets minus liabilities is 200M. If interest rates rise and the interest rate factor on all securities increases by 3%, how does the banks book value of equity change (in millions)? (note: a change which is a decrease would be a negative change)
Suppose it is Jan 1st, and the futures price for August 1st delivery of a 1-year zero-coupon government T-bill is $96/$100FV. The size of one contract is for $1M face value If your bank goes long 20 contracts, is this a bet that interest rates are going to increase, or decrease? (type ‘increase’ or ‘decrease’) If your bank goes long 20 contracts, and the price of the August 1st future increases to $97, how much money is the bank up in this contract? The current $-Duration of a bank’s assets minus liabilities is 200M. If interest rates rise and the interest rate factor on all securities increases by 3%, how does the banks book value of equity change (in millions)? (note: a change which is a decrease would be a negative change)
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Suppose it is Jan 1st, and the futures price for August 1st delivery of a 1-year zero-coupon government T-bill is $96/$100FV. The size of one contract is for $1M face value
If your bank goes long 20 contracts, is this a bet that interest rates are going to increase, or decrease? (type ‘increase’ or ‘decrease’)
If your bank goes long 20 contracts, and the price of the August 1st future increases to $97, how much money is the bank up in this contract?
The current $-Duration of a bank’s assets minus liabilities is 200M. If interest rates rise and the interest rate factor on all securities increases by 3%, how does the banks book value of equity change (in millions)?
(note: a change which is a decrease would be a negative change)
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