A Portfolio Is Worth $24,000,000

question 13

Multiple Choice

A portfolio is worth $24,000,000.The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000.On the delivery date the duration of the bond that is expected to be cheapest to deliver is 6 years and the duration of the portfolio will be 5.5 years.How many contracts are necessary for hedging the portfolio?

• A) 100
• B) 200
• C) 300
• D) 400

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Definitions:

Bullied

The experience of being intimidated, harassed, or abused by others, typically in a social, school, or work context.

Disclosed

Made known or revealed, often something that was previously secret or private.

Fine Motor Skills

The ability to perform detailed movements with the small muscles of the hands and fingers, such as writing or buttoning a shirt.

Kinesthetic

Related to or involving the perception of body movements and the sense of muscle movement, position, and strain.