FINS 3625- Calculate the market value of a bank bill futures contract Subject

FINS 3625- Calculate the market value of a bank bill futures contract Subject

FINS 3625- Calculate the market value of a bank bill futures contract
Subject: Business    / Finance   
Question

63.
    Calculate the market value of a bank bill futures contract with a face value of $1 000 000, a reported price of $93.75 and 90 days to maturity.

A.
    

$866 468.84

B.
    

$983 628.65

C.
    

$984 822.93

D.
    

$998 461.28

Difficulty: Medium
Est time: <1 minute
Learning Objective: 19-05 Show how financial futures contracts may be used to hedge price risks, including a borrowing hedge, an investment hedge, an FX hedge and a share portfolio hedge.
Section: 19.5 Hedging: risk management using futures

64.
    Calculate how much a futures trader who enters into a 90-day bank bill futures contract on 20 September with a reported price of $93.25 will need to pay on settlement date (30 September), if the face value of the underlying bill is $1 000 000.

A.
    

$857 310.63

B.
    

$983 628.65

C.
    

$984 822.93

D.
    

$998 338.38

Difficulty: Medium
Est time: <1 minute
Learning Objective: 19-05 Show how financial futures contracts may be used to hedge price risks, including a borrowing hedge, an investment hedge, an FX hedge and a share portfolio hedge.
Section: 19.5 Hedging: risk management using futures

65.
    A company has an existing $900 000 promissory note facility, which it will roll over in 90 days. It is concerned that interest rates will rise before the roll-over date and enters into a 90-day bank-accepted bill futures contract at 92.50. Three months later, the company closes out its futures position at 91.75. Using the following data, calculate the profit or loss position of the futures transactions. (Disregard margin calls and transaction costs.)

A.
    

$1 601.58 profit

B.
    

$1 601.58 loss

C.
    

$1 779.54 profit

D.
    

$1 779.54 loss