On 10th January 2022, sterling money market rates were as follows: 91 day interest rate spread 0.84%
Question:
On 10th January 2022, sterling money market rates were as follows:
91 day interest rate spread 0.84% - 0.88%
182 day interest rate spread 0.91% - 0.95%
sterling Three month interest rate futures 500,000 (CME)
Price
March (delivery day 16th March) 99.0257
June (delivery day 18th June) 98.8657
September (delivery day 21st September) 98.8057
Assume that day count convention for transaction in UK money markets is actual days/365
The delivery days for the futures contracts are 16th March, 18th June, and 21st September.
Required Question:
MNS Plc plans to deposit 55,800,000 for 91 days, starting 91 days from 30th January. Critically discuss the terms of a money market hedge and estimate the forward rate the the company could establish via those money market transactions.
Modern Advanced Accounting in Canada
ISBN: 978-1259087554
7th edition
Authors: Hilton Murray, Herauf Darrell