PORTFOLIO AND TREASURY BOND FUTURES CONTRACT CHARACTERISTICS Security Modified Duration Basis Point Value Conversion Factor for Cheapest to Deliver

PORTFOLIO AND TREASURY BOND FUTURES CONTRACT CHARACTERISTICSSecurity Modified Duration Basis Point Value Conversion Factor for Cheapest to Deliver Bond Portfolio Value / Future Contract PricePortfolio 10 years $100,000 Not Applicable $100,000,000U. S. Treasury bond futures contract 8 years $75.32 1 94-05Discuss two reasons for using futures rather than selling bonds to hedge a bond portfolio. No calculations required. State three reasons why Klein’s hedging strategy might not fully protect the portfolio against interest rate risk. Describe a zero-duration hedging strategy using only the government bond portfolio and options on U. S. Treasury bond futures contracts. No calculations required.

Leave a Reply