题目
Hanwha Investment is underwriting a 30-year zero coupon corporate bond issue with a face value of $50 million and a current market value of $2,676,776 (a yield of 5% per 6-month period)，The modified duration on the zero coupon corporate bond is 28.57; The firm must hold the bonds for a few days before issuing them to the public, which exposes them to interest rate risk. Hanwha Investment wishes to hedge its position by using T-Bond futures contracts. The modified duration on the T-Bond futures is 9.41，The current T-Bond futures price is $90.80 per $100 par value, and the T-Bond contract will be settled using a 20-year, 8% coupon bond paying interest semiannually. The contract is due to expire in a few days, so the T-Bond price and the T-Bond futures price are virtually identical. Assume that the yield curve is flat and that the corporate bond will continue to yield 0.5% more that T-Bond per 6-month period, even if the general level of market rates should change. What hedge ratio should Hanhwa Investment use to hedge its bond holdings against possible interest rate fluctuations over the next few days?
选项
A.72 contracts held short to hedge
B.85 contracts held short to hedge
C.88 contracts held short to hedge
D.93 contracts held short to hedge
答案
C
解析
The hedge ratio is calculated by:「huixue_img/importSubject/1564169522712285184.png」The closest answer is C, 88 contracts.