How many contracts does the bank need

Reference no: EM13727980

if a bank will invest $300,000,000 in treasury bonds (par=price) in 3-months. the duration on the bonds is 12.5 year.
1) should the bank buy or sell futures?
2) if the bank hedges with $100,000 T-bond futures with a duration of 9 years and a current price of 101,how many contracts does the bank need?
3) if the bank hedges with $1,000,000 T-bill futures with a duration of 0.25 years., and current price of 102,and a basis of 2, how many contracts does the bank need?

Reference no: EM13727980

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