Week 6 HW resubmit

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D & R A1 8 - 2 Question 8. Cheapest-to-Deliver Bond Today is July 1. You hold a November Treasury bond futures contract with a price of 92:15 (i.e., 92 plus [15/32]), with a delivery date of November 15 in the same year. You have identified the two bonds below that could be used for delivery against the futures contract:     Bond A Bond B Maturity 26.5 years 31 years Coupon rate 5% 8.5% Asking price 93:2 144:13 Coupon dates April 15, October 15 June 15, December 15 Callable? No No   Assume that the next year is not a leap year, and that the market repo rate is 5.50%. Identify the cheapest-to-deliver bond.

eBook Problem 29-02 The futures price of corn is $3.50 a bushel. Futures contracts for corn are based on 8,000 bushels, and the margin requirement is $2,000 a contract. You expect the price of corn to fall and sell the contract short. What is the value of the contract and how much must you initially remit? Round your answers to the nearest dollar. Value of the contract: $   Remit amount: $   If the futures price of corn rises to $3.60, what is the profit or loss on your position? Round your answer to the nearest dollar. Enter your answer as a positive value. The  is $   . If the futures price of corn declines to $3.32, what is the profit or loss on your position? Round your answer to the nearest dollar. Enter your answer as a positive value. The  is $   . If the futures price declines to $3.22, what may you do? Round your answer to the nearest dollar. The investor may remove up to $   from the account. How do you close your position? The investor closes the position by entering a…

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QUESTION 35 Show all work to receive credit You entered into a short CME futures contract on 125,000 euros at the day's opening price of $1.10 per euro. Your initial margin was 6,500 and your maintenance margin is $4,000. a. The settlement price one day after you open your position is $1.09 per euro. Calculate the balance on your margin account on this day. b. The settlement price two days after you open your position is $1.11 per euro. Calculate the balance on your margin account on this day. C. At what settle price do you get a margin call? For the toolbar, press ALT+F10 (PC) or ALT+FN+F10 (Mac). B U S Paragraph Arial 14px A

Assume that on Friday August 1, you sell one Chicago Board of Trade September Treasury bond futures contract at the opening price of $97000.  The initial margin requirement is $2500 and the maintenance margin requirement is $2000.  The settlement price of the contract at closing on that day is $97500.  Your margin account balance at the end of the day is $                 .   Question 15 options:

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Assume that on Friday August 1, you buy one Chicago Board of Trade September Treasury bond futures contract at the opening price of $97800.  The initial margin requirement is $2500 and the maintenance margin requirement is $2000.  The settlement price of the contract at closing on that day is $97400.  Your margin account balance at the end of the day is $                 .   Question 12 options:

Question 7   A. What is the basic difference between a forward contract and a futures contract? How important is this difference in determining the contract prices? B. Is the “forward price” the same thing as the “value of the forward contract” Explain. C. A forward contract exists for a unit of two-year government securities with delivery to take place three years from now. Suppose the price of these securities three years from now is uniformly distributed from a low $800 to a high of $1,400. The one-year expected riskless rate of interest is 5 percent for all periods under consideration. (i). If investors are risk neutral, what should be the current forward price? (ii). Suppose now that investors are risk averse and that the forward price is $1,200. What do you know about the relationship between the market value of two-year government securities and overall consumption? (iii). Continue to assume (as in (ii)) that the current forward price (at time 0) is $1,200. One year from now (at…

Question 1 You find a bond quote online listing a bond's price as "100.0". The bond's current price is $ Rounding and Formatting instructions: Do not enter dollar signs, percent signs, commas, X, or any words in your response. Do not round any intermediate work, but round your *final* response to 2 decimal places (example: if your answer is 12.3456, 12.3456%, or $12.3456, you should enter 12.35).

D & R A1 7 Question 7. Fed Funds Futures Arbitrage On August 1, the one-month LIBOR rate is 2.0 percent and the two-month LIBOR rate is 2.5 percent. The 30-day fed funds futures is quoted at 96.75. Assuming no basis risk between fed funds and one-month LIBOR at the start of the delivery month, identify whether an arbitrage opportunity is available. The contract size of the fed funds futures is $5,000,000.

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Question 5 A Treasury bond is quoted at a price of 103.949. What is the market price of this bond (in S) if the face value is $5,000 ? not round any intermediate calculations. Round your final answer to 2 decimal places and enter it in the box belot

Question 10 The 3-month June 2023 dollar interest rate futures contract is currently priced at 95.50. The contract has a nominal value of 1 million dollars. (i) What is the party that sells the dollar interest rate futures contract agreeing to?  (ii) If you think the 3-month spot interest rates on the dollar will be around 6% in June 2023 would you buy or sell the contract? Explain your reasoning.  (iii) How much profit in dollars would you make if you take the action based on part (ii) and are proved right i.e., the 3-month interest rate on the dollar is 6% in June 2023.  (iv) What 3-month dollar interest rate in June 2023 will give a break-even position for the seller of the contract? (v) What is the profit (+) or loss (-) for the buyer of the contract if the 3-month dollar interest rate in June 2023 is 2%?

Question 7 You are interested in buying one corporate bond and your broker has offered two corporate bonds for you to consider: 1. Bond A: paying quarterly coupons, with a maturity date of 1 January 2025, an annual coupon rate of 12% and a bond flat price of $90.0 2. Bond B: paying quarterly coupons, with a maturity date of 1 January 2035, an annual coupon rate of 15% and a bond flat price of $100.0 If the settlement date of both bonds is 1 January 2022, which of these two bonds represents the best investment opportunity? O Bond A O Bond B because its redemption value is higher than Bond A O Bond B O Both Bond A and Bond B as they are identical

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which one is correct please confirm? Q16: "If you purchase a $100,000 interest-rate futures contract for 105, and the price of the Treasury securities on the expiration date is 108"     your profit is $3000     your loss is $3000     your profit is $8000     your loss is $8000

Ay 2. Gains and losses are recognized daily IMR = $2,530, MMR = $2,300, for a T-Bond futures $100,000. Suppose you buy one June contract at the open of $98,500, Monday’s settle price is 98’10, and Tuesday’s close is 97’00. What is in your margin call in Tuesday’s settle?