20. Assume the bank in the previous question partially hedges the mortgage by selling three 10-year T-note

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20. Assume the bank in the previous question partially hedges the mortgage by selling three 10-year T-note futures contracts at a price of 100 20/32. Each con- tract is for $1,000,000. After two months, the futures contract has fallen in price to 98 24/32. What was the gain or loss on the futures transaction?

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Financial Markets and Institutions

ISBN: 978-0321280299

5th edition

Authors: Frederic S. Mishkin, Stanley G. Eakins

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