Question
If Fannie 4.0s have a hedge ratio of 0.314 versus 10-year Treasuries, then a purchase of $300 million Fannie 4.0s would have to be hedged
If Fannie 4.0s have a hedge ratio of 0.314 versus 10-year Treasuries, then a purchase of $300 million Fannie 4.0s would have to be hedged with a sale of:
$394.2 million 10-year Treasuries
$94.2 million 10-year Treasuries
$31.4 million 10-year Treasuries
$40 million 10-year Treasuries
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Law And Financial Stability
Authors: International Monetary Fund
1st Edition
1513523007, 978-1513523002
