22-103 If T-bond futures prices decrease to 81-27/32nds,what is the value of the futures hedge position?
A)$81,270,000.
B)$24,553,125.
C)$26,700,000.
D)$812,700.
E)$28,387,500.

Question

Quizplus · Accepted Answer

To find the value of the futures hedge position, we use the following formula:

Value of Futures Hedge Position = (Contract Size x Futures Price) / Conversion Factor

where
- Contract Size = $100,000
- Futures Price = 81-27/32nds = 81.84375%
- Conversion Factor = 1.12

Plugging in the values, we get:

Value of Futures Hedge Position = ($100,000 x 81.84375%) / 1.12
                                 = $24,553,125

Therefore, the best choice is B.

22-103 If T-Bond Futures Prices Decrease to 81-27/32nds,what Is the Value