An FI is planning to hedge its $100 million bond instruments with a cross hedge using Eurodollar

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An FI is planning to hedge its $100 million bond instruments with a cross hedge using Eurodollar interest rate futures. How would the FI estimate
br = [(Rf/(1+Rf) / (R/(1+R)]
to determine the exact number of Eurodollar futures contracts to hedge?

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Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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Question Posted: Dec 17, 2015 05:10 AM

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An FI is planning to hedge its $100 million bond instruments with a cross hedge using Eurodollar

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Financial Institutions Management A Risk Management Approach

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