Page 229 - AFM Integrated Workbook STUDENT S18-J19

Hedging interest rate risk

Transaction: $
Interest $20m × 5% × 6/12 (500,000)

Futures market:
31 May - Sell 95.58

1 Sept - Buy 95.10
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Gain 0.48%
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(× 40 contracts × $1m × 3/12) 48,000

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Net (452,000)

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Illustrations and further practice

Now try TYU 3 in Chapter 11

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