Wiley FINRA Series 3 Exam Review 2017 by Wiley

Author:Wiley
Language: eng
Format: epub
ISBN: 9781119399971
Publisher: Wiley
Published: 2015-11-26T00:00:00+00:00

EXAMPLE

In December, a portfolio manager who has $10,000,000 worth of Treasury bonds maturing in 6 months knows that he will want to reinvest the $10,000,000 principal payment in other Treasury bonds to keep the same asset allocation. The manager is concerned that interest rates may fall from the current attractive level in the market before the bonds mature. To hedge a $10,000,000 investment to be made 6 months in the future and to lock in a desirable rate the manager would purchase 100 June Treasury bond futures contracts. The number of contracts to be purchased is found as follows:

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