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U.S. government bond portfolio for an institution. She anticipates a small parallel shift in the yield curve and wants to fully hedge the portfolio against any such change. PORTFOLIO AND TREASURY BOND FUTURES CONTRACT CHRACTERISTICS Security - Modified Duration
- Basis Point Value - Conversion Factor for Cheapest to Deliver Bond - Portfolio Value/Future Contract Price Portfolio U.S Treasury bond futures contract - 10 year/ 8 years - $100,000 $75.32 - Not applicable 1 - $100,000,000 94-05
a. Discuss two reasons for using futures rather than selling bonds to hedge a bond portfolio. No calculations required.
b. Formulate Klein's hedging strategy using only the futures contract shown. Calculate the number of futures contracts to implement the strategy. Show all calculations.
c. Determine how much of the following would change in value if interest rates increase by 10 basis points as anticipated.
Preparation of Financial Statements for Dec 31, 2008 with the following info below? what should be added to incomestatement, owners equity statement, balance sheet & cash flow?
Schuss Inc. issued $3,000,000 of 10%, 10-year convertible bonds on June 1, 2010, at 98 plus accrued interest. The bonds were dated April 1, 2010, with interest payable April 1 and October 1. Bond discount is amortized semiannually on a straight-li..
Visit a nearby factory and carefully see its shops and departments. On completion of your visit draw a list of fixed assets noticed by you in the factory. Also comment on business location and its plant layout.
what behavioral problems are associated with setting a budget too loosely? what behavioral problems are associated with
Leslie died on October 31, 2011. Prior to 2009, Leslie had never made any gifts, but in 2010 she made some transfers. Specifically, on January 10, 2010, Leslie gave her vacation beach house to her five children as tenants in common.
There are no earnings and profits from C corporationn years. Calculate Sonny's built-in gains tax liability.
Stoolco's management has asked you to advise them on the types of marketing activities they can conduct within these countries without creating a taxable nexus. For purposes of this analysis, assume that the United States has entered into an income t..
Review the IRS website (www.irs.gov), and then provide a link to some information related to partnership formation or termination. Provide a brief summary of the link's contents?
The old used truck cost $4,800 and on March 31, the end of the quarter, had depreciated $3,180 straight-line depreciation on the old truck is $80 per month. The new truck listed for $ 18,950 and wumbaugh Auto Sales allowed a $2,825 trade-in allowa..
Banks Billiard Company (BBC) issued $5 million in par value of bonds for $5.1 million. BBC incurred $200,000 in accounting fees and $50,000 in banking fees related to this transaction. What amounts should BBC record for the bonds upon issuance usi..
Margie has two jobs and both employers withheld FICA tax. From her first job, she earned $88,000 and from her second job she earned $23,000. How much can Margie claim on her Form 1040 as excess social security tax paid in 2010?
If a company uses the balance sheet approach to estimate bad debt expense, bad debt expense for a period can be determined by:
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