Suppose the September Eurodollar futures contract has a price of 96.4. You plan to borrow $50m for
Question:
a. What rate can you secure?
b. Will you be long or short the Eurodollar contract?
c. How many contracts will you enter into?
d. Assuming the true 3-month LIBOR is1%in September, what is the settlement in dollars at expiration of the futures contract? (For purposes of this question, ignore daily marking-to-market on the futures contract.)
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a The implied LIBOR of the September Eurodollar futures of 964 is b As we want to borro...View the full answer
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