medium · FRM Part 1
An institutional desk owns a bond with a total DV01 of $45,000. They wish to neutralize this exposure using a 10-year Treasury Note future. The future is quoted at $112.50 (per $100 par), and the CTD bond has a modified duration of 6.80.
How many futures contracts must be sold to achieve DV01 neutrality?
- 533
- 400
- 662
- 588
Sign up free to see the explanation and track your rank →
More FRM Part 1 practice
- According to the CAPM, which type of risk are investors compensated for bearing?
- What specific variety of liquidity risk is being described?
- How is 'Risk Capacity' distinguished from 'Risk Appetite' in a standard risk governance fr
- If a loan has a Probability of Default (PD) of 2.0%, an Exposure at Default (EAD) of $1,00
- If two portfolios have the same Sharpe ratio but one has positive skewness and the other h
- In a 'Liquidity Spiral', what is the primary channel by which market liquidity risk and fu
- In the context of the CAPM, what is the definition of 'Alpha' (α)?
- In the risk decomposition formula σ^2_i = β^2_i σ^2_M + σ^2_ε, what does σ^2_ε represent?