Conyers Bank holds U.S.Treasury bonds with a book value of $30 million.However,the U.S.Treasury bonds currently are worth $28,387,500.

If the portfolio manager put on the hedge when T-bond futures were quoted at 89-00/32^nds,what is the profit/loss on the futures position if the settlement price is 81-27/32^nds?

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The Answer of Conyers Bank holds U.S.Treasury bonds with a book value of $30 million.However,the U.S.Treasury bonds currently are worth $28,387,500. If the portfolio manager put on the hedge when T-bond futures were quoted at 89-00/32^nds,what is the profit/loss on the futures position if the settlement price is 81-27/32^nds? A)Profit of $2,146,875. B)Loss of $2,146,875. C)Profit of $1,270,000. D)Loss of $1,270,000.

Conyers Bank Holds U