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Question 25 (5 points): It is March and Cavalier Financial Services Corporation is concerned about what an increase in interest rates will do to the

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Question 25 (5 points): It is March and Cavalier Financial Services Corporation is concerned about what an increase in interest rates will do to the value of its bond portfolio. The portfolio currently has a market value of $351.1 million, and Cavalier's management intends to liquidate S1 million in bonds in June to fund additional corporate loans. Cavalier's management sells 10 June Treasury bond contracts at 109-120 in March. If interest rates increase to 7 percent, the bond will sell for $0.92 million. Interest rates do increase, and in July Cavalier's management offsets its position by buying ten July Treasury bond contracts. If the basis at termination is -9.5, find the July Treasury Futures' price? Question 25 (5 points): It is March and Cavalier Financial Services Corporation is concerned about what an increase in interest rates will do to the value of its bond portfolio. The portfolio currently has a market value of $351.1 million, and Cavalier's management intends to liquidate S1 million in bonds in June to fund additional corporate loans. Cavalier's management sells 10 June Treasury bond contracts at 109-120 in March. If interest rates increase to 7 percent, the bond will sell for $0.92 million. Interest rates do increase, and in July Cavalier's management offsets its position by buying ten July Treasury bond contracts. If the basis at termination is -9.5, find the July Treasury Futures' price

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