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Question
A _____ position in T-bond futures should be used to hedge falling interest rates and a _____ position in T-bond futures should be used to hedge falling bond prices.
A. long; short
B. long; long
C. short; long
D. short; short
Answer
This answer is hidden. It contains 1 characters.
Related questions
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What is the total amount of net fee revenue generated from the mortgages over the year?
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E. short forward contract; call option
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A bond portfolio manager has a $25 million market value bond portfolio with a 6-year duration. The manager believes interest rates may increase 50 basis points. Which of the following could be used to help limit his risk?
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IV. Buy put options on the bonds.
A. I only
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Figure 22-3 A thrift has an annual CGAP of -$25 million. A credit union has an annual CGAP of +$5 million. The thrift has total assets of $500 million and net income of $7.5 million and the credit union has total assets of $40 million and net income of $0.7 millionCalculate each institution's CGAP as a percent of assets. Based on the gap, which institution's NII is more sensitive to interest rates? Explain.
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The bank's one-year repricing gap is (Million $)A. $425.B. $285.C. $74.D. $140.E. $66.
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Due to convexity problems, banks are actually better off using the simpler repricing model to manage interest rate risk rather than the duration model.
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The cash flow from the interest a bank receives on a long-term loan that is normally reinvested is called the runoff from the loan.
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If a bank has a negative repricing gap, falling interest rates increase profitability.
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In a bank's three-month maturity bucket, a 30-year ARM with a rate reset in six months would be considered a fixed rate asset, but in its one-year maturity bucket, this ARM would be considered a rate-sensitive asset.
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Why might a bank face abnormal deposit drains?
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Explain the relationship between each of the following ratios and liquidity risk.
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c) Loan commitments to total assets
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Explain how liquidity risk can lead to insolvency risk.
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In the absence of deposit insurance, a deposit is a _______________ to the bank's assets.A. pro rata claimB. first come/first serve claimC. full pay or no pay claimD. both A and BE. both B and C
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A bank meets a deposit withdrawal with one of the following alternatives. Which one of the following is an example of using stored liquidity to meet a deposit withdrawal?A. Increase in Euro dollar depositsB. Contacting an investment banker to find new corporate depositsC. Increasing Fed funds borrowedD. Issuance of a negotiable CDE. Selling the bank's holdings of T-bills
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A. Class A
B. Class B
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Banks were willing to swap LDC loans for Brady bonds because:
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B. the bonds had variable interest rates.
C. the bonds were marketable and the loans were not.
D. the bonds were uncollateralized.
E. none of the above
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Under current reserve requirements, bank loan sales with recourse are considered a liability and are subject to reserve requirements.
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Vulture funds specialize in buying distressed loans.
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