A bank wants to use STIR futures for establishing a macro hedge for the asset portfolio. Which of the following statements is correct?

Question

Options

• AIt is reasonable for the bank to purchase futures contracts if they expect interest rates to rise.
• BIt is reasonable for the bank to take a long position in anticipation of rising rates.
• CLosses (or gains) in the value of the cash position can be largely offset by gains (or losses) in the
• DIt is reasonable for the bank to sell futures contracts if it expects interest rates to fall

• A
  2% (1)
• B
  6% (3)
• C
  83% (45)
• D
  9% (5)

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