Suppose a T-Bond Futures Contract Has a Duration of 9

A bond portfolio manager has a $25 million market value bond portfolio with a 6 year duration. The manager believes interest rates may increase 50 basis points. Which of the following could be used to help limit his risk? I. Sell the bonds forward. II) Buy bond futures contracts. III) Buy call options on the bonds. IV) Buy put options on the bonds. A) I only B) II only C) I and III only D) II and III only E) I and IV only

A macro hedge is a A) Hedge of a particular asset or liability B) Hedge using futures on macroeconomic variables C) Hedge using options in liabilities D) Hedge without basis risk E) Hedge of an entire balance sheet Refer to the information below for questions 30-32: XYZ Bank has D_A = 2.4 years and D_L = 0.9 years. The bank has total equity of $82 million and total assets of $850 million. Currently, interest rates are at 6%.