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| Assuming interest rates rise, which of the following CORRECTLY describes the outcome regarding the ultimate disposal of the T-bill?
A. The T-bill will lose value, but the short T-bill futures contracts will gain in value to offset the loss. B. The T-bill futures contract will lose value, but the Treasury bill will gain in value to offset the loss. C. The holdings of T-bill futures contracts will have to be reduced (rebalanced) in order to maintain the current hedged relationship. |