Apple will need to borrow $ 4 million next January for a term of 3 months

If the actual 3-month B/A trades at 2.35%, the BAX January 2023 trades at 2.75% and the BAX April 2023 trades at 2.85%:

 

1. write the future contract 

2. If at maturity CDOR is 97.45, please indicate the outcome of your future hedge:

 2.1 indicate if you have a profit or a loss

 2.2 calculate how much is that outcome. 

3. If you had decided to hedge with an Option at 25 basis points OTM (out of the money):

3.1 what would have been the strike price?

3.2 would you have acquired a Call or a Put option?

Answer rating: 100% (QA)

1 The future contract would be to sell a 3month BAX ... View the full answer