FM11_Ch_23_P04_Build_a_Model -...

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92f036e12de8184ed0b0447f1bd4355e63256188.xls Ch 23-04 Build a Model Michael C. Ehrhardt Page 1 03/17/2011 8/3/2003 Chapter 23. Ch 23-04 Build a Model Problem 23-4. Use the information and data from Problem 23-2 Problem Inputs: Size of planned debt offering = $10,000,000 Anticipated rate on debt offering = 11% Maturity of planned debt offering = 10 Number of months until debt offering = 7 Settle price on futures contract (% of par) = 95.53125% Maturity of bond underlying futures contract = 20 Coupon rate on bond underlying futures contract = 6% Size of futures contract (dollars) = $100,000 Number of contracts needed for hedge = Value of contracts in hedge = Implied semi-annual yield = Implied annual yield = Change in interest rate on debt offering (basis points) = 300 New interest rate on debt = Value of issuing at new rate interest = Dollar value savings or cost from issuing debt at the new rate = New yield on futures contract = Value of futures contract at new yield = Dollar change in value of the futures position =
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This note was uploaded on 03/16/2011 for the course FM 11 taught by Professor Teerana during the Spring '11 term at Thammasat University.

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FM11_Ch_23_P04_Build_a_Model -...

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