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You own a bond portfolio and decide to hedge using futures on 10 year Treasury notes.The futures contract has a price of $119.1 and a
You own a bond portfolio and decide to hedge using futures on 10 year Treasury notes.The futures contract has a price of $119.1 and a multiplier of $1,000.You identify a bond for delivery and use it to calculate thehedge ratio.The Treasury bond has a modified duration of 7.9.
If market rates rise by 23 basis points, by how much would the Treasury note futures be expected to change in value?Be sure to include the correct sign and enter your result rounded to the nearest integer.
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