Your Bond Portfolio Has a Value of $10,600,000 with a Duration

question 4

Multiple Choice

Your bond portfolio has a value of $10,600,000 with a duration of 2.2 years. How many 90-day US Treasury bill futures contracts do you need to hedge this exposure if the futures contract is priced at $995,000? Assume you are carrying out duration-based hedging.

• A) 1.21
• B) 5.86
• C) 10.65
• D) 93.75

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Definitions:

Time Deadline

A specific point in time by which a task, project, or objective must be completed or delivered.

Bargaining Table

A figurative or literal table where negotiations take place, typically involving labor unions and employers to discuss working conditions, wages, or other employment terms.

Making Concessions

The act of yielding or compromising on certain points or demands in a negotiation or disagreement.

Potential Agreement

A possible future agreement between parties outlining conditions that are satisfactory to all involved entities.