n January 1 5 , 2 0 1 7 ( today = time 0 ) , a
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Question:
n January today time a firm is worried that the interest rate may decline in the next six months, when it will receive the payment from the sale of a piece of equipment. In particular, the firm will receive on July a $ million receivable that needs to be invested for another six months. As a hedging strategy, the firm decides to go long on month SOFR futures contracts and buys June futures contracts. The quoted futures price on this day is $ The firm sells the future contract on July th Over the life of the contract the prices move as given below.
Jan
Jan
Jan
July
What is the reference quarter for the June Sofr Futures Contracts?
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