22-35 An adjustment for basis risk with a value of "br" less than one means that the percent change in the spot rates is greater than the change in rate in the deliverable bond in the futures market.

Question

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A basis risk adjustment value of less than one indicates that the change in spot rates is greater than the change in deliverable bond rates, which means that the futures contract may not perfectly hedge against price movements in the spot market.

22-35 an Adjustment for Basis Risk with a Value of "Br