Calculate the forward duration of the ctd

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Reference no: EM132410939

It is November 2019 and you are managing a bond portfolio worth $100 million. The duration of the portfolio in 4 months will be 9.5 years. Describe how to use March 2020 10Y Treasury Note futures to hedge the portfolio against interest rate risk. Assume that the cheapest-to-deliver bond is the one with the coupon 3 1/8 % maturing 15/11/2028 (see https://www.cmegroup.com/trading/interest-rates/treasury-conversion-factors.html).

Find the actual March 2020 Treasury Bond price and the appropriate conversion factor to calculate the forward duration of the CTD and the exact futures position to take.

Reference no: EM132410939

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