A money market portfolio has a market value of $20,000,000 and its value will change by $500 for a change in short-term yields of one basis point. The eurodollar futures contract has a tick size of $25 for a change in yield of one basis point.

What would be a good hedge for the money market portfolio? (Should you buy or sell futures? How many contracts?)

Answer rating: 100% (QA)

Here as we are long on money ma... View the full answer