2f1b6223a82231c296b812bd78dbefa8609f8617.xlsxBuild a ModelMichael C. EhrhardtPage 110/23/20114/19/2010Chapter 23. Ch 23-06 Build a ModelProblem 23-6. Use the information and data from Problem 23-5Problem Inputs:Size of planned debt offering =$10,000,000 Anticipated rate on debt offering =11%Maturity of planned debt offering =20 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 Value of each T-bond futures contract = Number of contracts needed for hedge =rounding =Value of contracts in hedge =Implied semi-annual yield =Implied annual yield =Change in interest rate on debt offering (basis points) =-300New 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 =New value of each futures contractValue of all fo the futures contract at new yield =
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