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A manager has a position in Treasury bills worth $175 million with a yield of 2%. For the next 6 months, the manager wishes to have a synthetic equity position approximately equal to this value. The manager chooses S&P 500 index futures, which has a dividend yield of 3%. The futures price is 1,050 and the multiplier is $250. How many contracts will this take? A. 655 contracts. B. 421 contracts. C. 673 contracts. |