22-129 If Treasury Note Futures Prices Fall to 98?17 in One

question 101

Multiple Choice

22-129 If Treasury note futures prices fall to 98?17 in one year,what is the profit/loss on the futures position if the bank fully hedges interest rate risk exposure? Assume that the duration of the Canadian bonds is the same as the duration of Treasury note futures.

• A)Buy 13 Treasury bond futures for an end-of-year futures profit of $312.50.
• B)Sell 13 Treasury bond futures for an end-of-year futures profit of $312.50.
• C)Sell 13 Treasury bond futures for an end-of-year futures profit of $4,062.50.
• D)Buy 13 Treasury bond futures for an end-of-year futures profit of $4,062.50.
• E)Sell 1 Treasury bond futures for an end-of-year futures profit of $98,843.75

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Definitions:

Autonomy

The capacity to make an informed, uncoerced decision or the ability of an individual to act independently.

Voluntary

Actions or decisions made based on individual free will or choice, without external coercion.

Sense Of Industry

A concept from Erik Erikson's stages of psychosocial development, referring to the period when children learn to be productive and work with others.

Erikson

Refers to Erik Erikson, a psychologist known for his theory on psychosocial development across the lifespan.