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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.
Assume that the portfolio manager sells the bonds at a price of 87-05/32, and that she closes out the futures hedge position at a price of 81-17/32. What will be the net gain or loss on the entire bond transaction from the time that the hedge was placed?
A. Gain of $2,583,125.
B. Loss of $93,750.
C. Loss of $2,583,125.
D. Gain of $93,750.
E. Gain of $812,700.
Answer
This answer is hidden. It contains 215 characters.
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