Hi could someone please help with the below bank bill question. It is November 15 th 2019,
Fantastic news! We've Found the answer you've been seeking!
Question:
Hi could someone please help with the below bank bill question.
It is November 15th 2019, and Jerry will need to borrow $5,000,000 for 90-days next June. If today's yield on 90-day bank bills is 1.0% p.a. and Jerry believes that 90-day interest rates may fall to 0.8% 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 futures quotations are 98.8800 (bid) and 98.8650 (ask), and September futures 98.8500 (bid) and 98.8650 (ask), while Jerry is able to issue 90-day bills at 1.70% p.a.?
Use the quotation from the ASX table attached.
Date Futures Market Physical Market
15 Nov 2019 ( ) ( )
June 2020 ( ) ( )
Expert Answer:
Posted Date:
