On JUL 17, 2022 a bond portfolio manager, PM, knows that he will purchase T bonds in 2 months. On JUL 17, 2022, these T-bonds are trading in the spot market for $33,000,000.00; their Duration is 10 years; and their yield to maturity is 5%. The manager wishes to hedge the purchase with T-bond futures for MAR 2023 delivery. The MAR 2023 futures market price today is 75 00; their duration is 11 years and their yield to maturity is 5.5%. Using the prices sensitivity hedge ratio PM will use 440 T-bond futures in the hedge.

1. Show the complete time table today JUL 17, 2022.

On SEP 18, 2022 the spot market price of the T-bonds was $40,000,000 while the T-bond futures for delivery on MAR 2023 was priced 88 31. Use the same time table as in 1 and show the end results of the hedge on 18, 2022. 2. Calculate the total cost of the T-bond futures purchased by PM without the hedge. 3. Calculate the total cost of the T-bond futures purchased by PM with the hedge.