How would you put on a hedge using 91-day Treasury bill futures to hedge the impact of
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How would you put on a hedge using 91-day Treasury bill futures to hedge the impact of interest rate changes on the market value of the financial intermediary? Be sure to specify the number of 91-day Treasury bill futures contracts (quoted at an IMM Index price of 97.5) required to provide a macro-hedge of the intermediary’s interest-rate risk exposure. Assume no basis risk. Either roundup or down to a whole number of contracts and state whether these contracts should be purchased of sold. Note: the IMM Index price = 100 minus the discount yield.
Related Book For
Probability & Statistics for Engineers & Scientists
ISBN: 978-0130415295
7th Edition
Authors: Ronald E. Walpole, Raymond H. Myers, Sharon L. Myers, Keying
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