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%? (Sh S)

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%? (Sh S)

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter5: Currency Derivatives

Section: Chapter Questions

Problem 38QA

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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 7The 3-month March 2024 Euro interest rate futures contract on the Euro is currentlypriced at 96.00. The contract has a nominal value of 1 million Euros.(i) What are the two parties that buy/sell the Euro interest rate futures contract agreeingto? (ii) If you think the 3-month interest rates on the Euro will be around 5% in March wouldyou buy or sell the contract? (iii) How much profit in Euros 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 Euro is 5% in March. (iv) What 3-month Euro interest rate in March 2024 will give a break-even position for thebuyer of the contract? (v) What is the profit (+) or loss (-) for the seller of the contract if the 3 month Euro interestrate in March is 3%?
Spaci Heading 3 Paragraph Futures are available on 3 month T bills with a contract size of $2 million. If you take a long position at $96.22 and later sell the contracts at $96.80, how much would the total net gain or loss be on this transaction? I
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Q1 A long forward contract on a commodity that was negotiated some time ago will expire in 1 months and has a delivery price of $70. The current spot price of the commodity is $59. The risk-free interest rate (with continuous compounding) is 0.09. What is the value of the long forward contract? Q2 A short forward contract on an investment asset that yields 0.08 and was negotiated some time ago will expire in 4 months and has a delivery price of $50. The current spot price of the commodity is $48. The risk-free interest rate (with continuous compounding) is 0.02. What is the value of the short forward contract? Q3 A long forward contract on a commodity that was negotiated some time ago will expire in 2 months and has a delivery price of $76. The current spot price of the commodity is $66. The risk-free interest rate (with continuous compounding) is 2.2%. What is the value of the long forward contract?
Assume the Eurodollar futures price at time t0 is 93.83 and the contract expires in 3 months time a. Calculate the 3-month forward rate implied by this price. b. Calculate the repayment amount for bonds with maturities of 3, 6, 9 and 12 months if the investor bought $5 million future contracts. no hand written solution plz
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
Suppose we wish to borrow $10 million for 3 months, and that the quoted Eurodollar futures price is 94.80. If the interest rate on the loan is based on the 3-month LIBOR rate, what will we pay to repay the loan (that is, the total amount we need to repay including principal and interest based on LIBOR)? Question 16 options: $10, 160, 000.00 $10, 130,000.00 $10, 115,000.00 $10, 640,000.00 $10,520,000.00
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