User Nyasaka plc has borrowing of GBP100 million on which it pays three-month LIBOR...
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User Nyasaka plc has borrowing of GBP million on which it pays threemonth LIBOR per cent. Mr Tuntufye Mwaigomole, The Senior treasurers view is that interest rates will rise before the next rate fixing on st June. She decides to hedge the position with futures contracts. The date now is now th March; the price of June futures is given in the FT extract the exchange has a total spread of on the rate quoted in the FT and the current threemonth LIBOR is also given in the FT extract below. Futures information The contract size is The tick size is The initial margin is i Draw the risk profile of the company. ii Set up the hedge on the th March using the appropriate terminology. iii. Illustrate the entries in the margin account for the first two days of trading from the following information: Closing futures price on th March: Closing futures price on th March: At st June the following information is available: The futures contract stands at Three months LIBOR is per cent. Illustrate the cash flows in the money market and the futures market, clearly setting out the effective return.price at settlement date is
User
Nyasaka plc has borrowing of GBP million on which it pays threemonth LIBOR
per cent. Mr Tuntufye Mwaigomole, The Senior treasurers view is that interest
rates will rise before the next rate fixing on st June. She decides to hedge the
position with futures contracts.
The date now is now th March; the price of June futures is given in the FT extract
the exchange has a total spread of on the rate quoted in the FT and the current
threemonth LIBOR is also given in the FT extract below.
Futures information
The contract size is
The tick size is
The initial margin is
i Draw the risk profile of the company.
ii Set up the hedge on the th March using the appropriate terminology.
iii. Illustrate the entries in the margin account for the first two days of trading from
the following information:
Closing futures price on th March:
Closing futures price on th March: At st June the following information is available:
The futures contract stands at
Three months LIBOR is per cent.
Illustrate the cash flows in the money market and the futures market, clearly
setting out the effective return.price at settlement date is
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