19. An American investor is holding 25 US T-bonds of remaining maturity 18 years. Underlying interest on the bond is 5.5% and the bond is currently quoted in the market at 90-12. The interest rates in the American economy are set to rise in near future, so the investor wants to hedge its holding of bonds through T-bond futures. The investor has decided to protect his holding for 6-months and identified the following T-bond futures for hedging: 94-24 T-bond futures price Underlying coupon rate 6% p.a. You are required to a. Advise the investor how to hedge the holding through T-bond futures, and how many futures contract required for perfect hedge? b. Calculate the annualized return earned on the holding for the protection period, if T-bond price and futures price after 6-months closes at 92-26, 97-08 ii. 88-06, 92-22