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A financial intermediarys balance sheet is such that DA 5.pdf

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A financial intermediarys balance sheet is such that DA= 5, DL = 3. This FI has $300 million in assets and net worth (equity) of $50 million. The FI has access to options on U.S. Treasury Bills. The T-Bills in question are 1 year instruments that currently trade at $0.95 per $1. The call options cover $1,000,000 in face value and have a delta of 0.65. The put options cover $1,000,000 in face value and have a delta of -0.45. Specify the type of contract the FI should use (call or put) , whether the FI buys or sells that contract, and the number of contracts required to fully hedge the interest rate exposure..

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A financial intermediarys balance sheet is such that DA= 5, DL = 3. This FI has $300 million in assets and net worth (equity) of $50 million. The FI has access to options on U.S. Treasury Bills. The T-Bills in question are 1 year instruments that currently trade at $0.95 per $1. The call options cover $1,000,000 in face value and have a delta of 0.65. The put options cover $1,000,000 in face value and have a delta of -0.45. Specify the type of contract the FI should use (call or put) , whether the FI buys or sells that contract, and the number of contracts required to fully hedge the interest rate exposure.

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A financial intermediarys balance sheet is such that DA 5.pdf

  • 1. A financial intermediarys balance sheet is such that DA= 5, DL = 3. This FI has $300 million in assets and net worth (equity) of $50 million. The FI has access to options on U.S. Treasury Bills. The T-Bills in question are 1 year instruments that currently trade at $0.95 per $1. The call options cover $1,000,000 in face value and have a delta of 0.65. The put options cover $1,000,000 in face value and have a delta of -0.45. Specify the type of contract the FI should use (call or put) , whether the FI buys or sells that contract, and the number of contracts required to fully hedge the interest rate exposure.