6. Today is March 31, and corporation RPK plans to issue $450 million in 30-year bonds on May 15th. These bonds are priced at par and have a modified duration of 15. RPK wants to hedge their interest...

6. Today is March 31, and corporation RPK<br>plans to issue $450 million in 30-year bonds<br>on May 15th. These bonds are priced at par<br>and have a modified duration of 15. RPK<br>wants to hedge their interest rate risk using<br>June T-bond futures contracts which have a<br>price of 95 3/32 and a modified duration of<br>10. Show the following:<br>How would RPK hedge in this situation using<br>T-bond futures contracts? (Be specific)<br>Show the net loss/gain if on May 15 the bond<br>price is 96.22 and the June T-bond futures<br>price is 92 6/32, Round to 4 decimals<br>

Extracted text: 6. Today is March 31, and corporation RPK plans to issue $450 million in 30-year bonds on May 15th. These bonds are priced at par and have a modified duration of 15. RPK wants to hedge their interest rate risk using June T-bond futures contracts which have a price of 95 3/32 and a modified duration of 10. Show the following: How would RPK hedge in this situation using T-bond futures contracts? (Be specific) Show the net loss/gain if on May 15 the bond price is 96.22 and the June T-bond futures price is 92 6/32, Round to 4 decimals

Jun 08, 2022

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6. Today is March 31, and corporation RPK plans to issue $450 million in 30-year bonds on May 15th. These bonds are priced at par and have a modified duration of 15. RPK wants to hedge their interest...

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