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KKR issues a $10 million 18-month floating rate note priced at LIBOR plus 400 basis points. Assume that KKR had hedge the interest rate risk
KKR issues a $10 million 18-month floating rate note priced at LIBOR plus 400 basis points.
- Assume that KKR had hedge the interest rate risk with a US Treasury bill futures contract priced at 94.75. What would the hedge positions value be if Treasury bill yields increased by 25 basis points?
The correct answer is $632 per contract. Please show your work. Thanks
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Financial Markets and Institutions
Authors: Anthony Saunders, Marcia Cornett
6th edition
9780077641849, 77861663, 77641841, 978-0077861667
