It is 1st May today and assuming that your company need to borrow $200,000,000 on 1st July for next 3 months. You are planning to use the Eurodollar Futures (EF) to hedge the possible change in the Libor rate between now and 1st July. The July EF is trading at 95.35 now and it turned out that on 1st July the EF is trading at 95.95. There are 92 days between 1st July to 1st October. 

What would be your total interest payment for this borrowing upon the settlement of it on 1st October?

Answer rating: 100% (QA)

1 Calculate the Change in Futures Price Change in EF 9595 9535 060 2 Calcula... View the full answer