Conyers Bank Holds Treasury Bonds with a Book Value of $30

question 182

Multiple Choice

Conyers Bank holds Treasury bonds with a book value of $30 million. However, the 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.
• E)Loss of $812,700.

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Financial assistance provided by a government to individuals in need.

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