It is February 1st, and Jerry will need to borrow $5,000,000 for 90-days next June. If today's
Fantastic news! We've Found the answer you've been seeking!
Question:
It is February 1st, and Jerry will need to borrow $5,000,000 for 90-days next June. If today's yield on 90-day bank bills is 3.5% p.a. and Jerry believes that 90-day interest rates may fall to 3.0% p.a. by June. What futures position should Jerry take to hedge this exposure? What borrowing rate would Jerry lock-in, if in June, the June and September futures prices were 95.23 and 95.36 respectively?
Related Book For
Financial Markets and Institutions
ISBN: 978-0077861667
6th edition
Authors: Anthony Saunders , Marcia Cornett
Posted Date: