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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.
An assessment made by the city for pavement was $6,400. Interest costs during construction were $170,000.
Discuss the differences between a probability and a non-probability sample. Under what circumstances would each be used?
Record the transactions on page 8 of a general journal. You can Omit descriptions. You can use any General Journal template or the one attached.
the common stock had a market value of $xx per share (the shares were originally issued at $xx per share). As a result of this exchange, Abel's total stockholders' equity will increase by ??
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Examine the reasons service companies are more sensitive to labor and price variances, as compared to material price variances, in the industrial sector and why managing these variances is essential to sustaining profitability.
A company issues $15,000,000, 7.8%, 20-year bonds to yield 8% on January 1, 2012. Interest is paid on June 30 and December 31. The proceeds from the bonds are $14,703,109. Using effective-interest amortization, how much interest expense will be re..
Analyze the risks in the systems that your team analyzed. Identify all risks and internal control points by incorporating the controls and risks into the flowcharts.
Dean signed an agreement to sell the plant for $350,000 January 1 year 10 and Lease it back for $15,000 per year, deans incremental borrowing rate is 6%. Present value factors for annuity
Prepare the journal entry to record Autumn Company's issuance of 63,000 share of no-par value common stock assuming the shares;
Evaluate the inventory turnover ratio for 2010 by using the LIFO and FIFO cost-flow assumption methods.
Which of the following expenses would not appear on a Selling and Administrative Expense Budget? Which of the following costs incurred by a restaurant store is not an example of a variable cost?
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