On June 1, the one-month LIBOR rate is 4.25%, and the two-month LIBOR rate is 5.50%. The
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On June 1, the one-month LIBOR rate is 4.25%, and the two-month LIBOR rate is 5.50%. The 30-day July Fed Funds rate futures contract is quoting at 95.10. You think there might be an arbitrage play based upon the likelihood of rising interest rates in the near-term. You will use one $5,000,000 contract.
Now, suppose that on July 1, the one-month LIBOR has risen (as you suspected), and it now stands at 6.35%. Rounded to the nearest cent, the present value at July 1 of the two-month loan you made is now $?
Related Book For
Financial and Managerial Accounting
ISBN: 978-1133940593
10th edition
Authors: Belverd E. Needles, Marian Powers, Susan V. Crosson
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