Suppose you are managing a bond portfolio with a current market value of $4.6 million. The bonds in this portfolio are priced at an average price of 98% of par and the duration of the portfolio is 12.62 years. If the cheapest to deliver bond for a Treasury Bond futures contract has a duration of 13.22 years, is priced at 97.5% of par, and has a conversion factor of 0.8315, how many Treasury Bond futures contracts would represent a 100% hedge?
A) Long 37 contracts
B) Long 57 contracts
C) Short 37 contracts
D) Short 57 contracts
Correct Answer:
Verified
Q12: If interest rates are expected to rise,
Q13: A bank's funds gap equals
A) the extent
Q14: Banks usually make duration adjustments by
A) altering
Q15: Disadvantages of immunization include all of the
Q16: Suppose a $10,000 Treasury Bill with 82
Q17: Suppose a $10,000 Treasury Bill with 85
Q18: Suppose a $10,000 Treasury Bill with 85
Q19: Suppose a $10,000 Treasury Bill with 85
Q20: Suppose a Treasury Bill futures contract is
Q21: Suppose you are managing a bond portfolio
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents