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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