2f1b6223a82231c296b812bd78dbefa8609f8617.xlsx Build a Model Michael C. Ehrhardt Page 1 10/23/2011 4/19/2010 Chapter 23. Ch 23-06 Build a Model Problem 23-6. Use the information and data from Problem 23-5 Problem 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) =-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 = New value of each futures contract
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