Calculate the amount of futures needed to hedge a bond given the following information:
Bond
Face $30,000,000
Term 10 years
Coupon 2.50% annual coupon
YTM 3%
Hedge
Futures contract 10 year T-Note
Denomination $100,000
Deliverable Notes:
Note 1
Term 10 years
Coupon 2.20% payable annually
YTM 2.8% p. a.
Note 2
Term 10 years
Coupon 2.10% payable semi annually
YTM 2.8% p. a.
Note 3
Term 10 years
Coupon 2.00% payable semi annually
YTM 2.7% p. a.
Answers: 1
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Calculate the amount of futures needed to hedge a bond given the following information:
Bond
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