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Question
Conyers Bank holds U.S. Treasury bonds with a book value of $30 million. However, the U.S. Treasury bonds currently are worth $28,387,500.
If the portfolio manager put on the hedge when T-bond futures were quoted at 89-00/32nds, what is the profit/loss on the futures position if the settlement price is 81-27/32nds?
A. Profit of $2,146,875.
B. Loss of $2,146,875.
C. Profit of $1,270,000.
D. Loss of $1,270,000.
E. Loss of $812,700.
Answer
This answer is hidden. It contains 151 characters.
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