An investor has agreed to LEND $10 million for 3-months in the future at a rate of (SOFR + 1%). What position should the investor take in the SOFR Futures contract to hedge against interest-rate changes? Answer in terms of LONG or SHORT position and provide a brief rationale in the response box below
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An investor has agreed to LEND $10 million for 3-months in the future at a rate of (SOFR + 1%). What position should the investor take in the SOFR Futures contract to hedge against interest-rate changes? Answer in terms of LONG or SHORT position and provide a brief rationale in the response box below
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- If the initial speculative margin of a futures contract is $2,000, the maintenance margin is $1,800 and your trading account balance has increased to $2,300, how much must you deposit to comply with your margin requirement?Suppose that you purchase a Treasury bond futures contract at $95 per $100 of face value. What is your obligation when you purchase this futures contract? If an FI purchases this contract, in what kind of hedge is it engaged? Assume that the Treasury bond futures price falls to 94. What is your loss or gain? Assume that the Treasury bond futures price rises to 97. Mark your position to market.a. A futures contract on a non-dividend-paying stock index with current value $130 has a maturity of one year. If the T-bill rate is 6%, what should the futures price be? b. What should the futures price be if the maturity of the contract is 2 years? c. What if the interest rate is 9% and the maturity of the contract is 2 years? Complete this question by entering your answers in the tabs below. Required A Required B Required C A futures contract on a non-dividend-paying stock index with current value $130 has a maturity of one year. If the T-bill rate is 6%, what should the futures price be? Note: Round your answer to 2 decimal places. Futures price
- A one-year gold futures contract is selling for $1,247. Spot gold prices are $1,200 and the one-year risk-free rate is 2%. a) According to spot-futures parity, what should be the futures price? b) What risk-free strategy can investors use to take advantage of the futures mispricing, and what would be the profits from that strategy?Suppose you work as a broker in an investment company, and there is an expectation that the market interest rate will be 0.029. based on this expectation you are required to calculate the market price for the following CD;Issue date: 1 January 2021 Maturity date:10 May 2021. The face value OMR 10000. Interest on CD: 5 percent. Select one: a. 15942.02 b. 15574.10 c. 15677.97 d. All the given choices are not correct e. 15572.50A trader takes a view that March KLSE CI futures which are currently trading at 1188.60 are about to enter a downtrend. Should the trader go long or short futures. Assuming the trader maintains their original position until expiry and the cash settlement price is 1185.40, what will be the profit or loss? The contract size is RM50 per contract.
- Suppose you work as a broker in an investment company, and there is an expectation that the market interest rate will be 0.031. based on this expectation you are required to calculate the market price for the following CD; Issue date: 1 January 2021 Maturity date:10 May 2021. The face value OMR 10000. Interest on CD: 5 percent.A futures contract will mature in one time step. The current return over one time-step is R = 1.01 and the underlying asset of the future contract is currently worth $27 and has up factor u = 1.1 and down factor d = 0.9. The margin account for the short side of this futures contract currently holds $16. How much will the margin account hold when the futures contract matures if the underlying asset increases in value?An investor enters a three-year swap contracts bypaying fixed price and receive spot price of Applesstock at the end of each year. The spot price ofApple's stock is Ș515 now, and the risk-free rate is3%.a. Draw the synthetic forwards contracts tomimicking this swap contract.o. Compute the rational fixed price based onarbitrage-free principal
- An asset manager is contemplating to enter into a two-year equity swap in which he gets the S&P 500 Index's rate of return in exchange for paying a fixed interest rate. At the start of the trade, the S& P 500 stock index was at 1161.73. Semiannual payments are required under the swap. A. Determine the swap's annualized fixed rate, given the current interest rate term structure as follows: Lo(180) = 0.0501 Lo(360) = 0.0533 L.(540) = 0.0640 | L.(720) = 0.0669 the swap's market value 160 days late Det is in place. the new rm structure L160(20) = 0.0549 L160(200) = 0.0633 L160(380) = 0.0689 L160(560) = 0.0712 The S&P 500 is currently trading at 1214.94. The swap's nominal principal is $110 million. B.Suppose we enter into a 76-day T-bill futures contract quoted at 0.021. The notional amount is $1,000. What is the actual price?Yesterday, you entered into a futures contract to buy €62,500 at $1.50 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted? ANSWER D IS CORRECT BUT WHAT IS THE PROCEDURE BUT HOW DO I GET THERE? a) $1.5160 per €. b)$1.208 per €. c)$1.1920 per €. d)$1.4840 per €. Correct