22-32 Hedging a specific on-balance-sheet cash position usually will only require more T-bill futures contracts than hedging the same cash position with T-bond futures contracts because the T-bond contract size is only 10 percent as large as large as the T-bill contract.

Question

Quizplus · Accepted Answer

The statement is incorrect because T-bond futures contracts typically have a larger contract size compared to T-bill futures contracts, not smaller. Therefore, fewer T-bond futures contracts would be needed to hedge the same cash position compared to T-bill futures contracts.

22-32 Hedging a Specific On-Balance-Sheet Cash Position Usually Will Only