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Consider the following balance sheet (in millions) for an FI: Assets:
Duration = 10 years $950
Liabilities:
Duration = 2 years $860
Equity = $90
(a) What is the FI's duration gap?
(b) What is the FI's interest rate risk exposure?
(c) How can the FI use futures and forward contracts to put on a macro hedge?
(d) What is the impact on the FI's equity value if the relative change in interest rates is an increase of 1 per cent? That is, DR/(1+R) = 0.01.
(e) Suppose that the FI in part (c) macro hedges using Treasury Bond futures that are currently priced at 96. What is the impact on the FI's futures position if the relative change in all interest rates is an increase of 1 per cent? That is, DR/(1+R) = 0.01. Assume that the deliverable Treasury Bond has a duration of nine years.
(f) If the FI wants to macro hedge, how many Treasury Bond futures contracts does it need?
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