2. The following table shows the 90 Day Bank Bill trades for a person in the Capital Markets. (a) For each future
Posted: Mon May 02, 2022 9:01 am
2. The following table shows the 90
Day Bank Bill trades for a person in the Capital Markets.
(a) For each futures
“rate” in the table above, what is the corresponding yield? Why are
interest rate futures contracts quoted as (100 – yield)?
(b) What is the price of a bank
bill futures contract at each of these yields? (NOTE: The ASX bank
bill futures contract is for a 90 day bank bill with face value of
$1,000,000). (ANSWER: $993,727.27 at a yield of 2.560%)
(c) If you bought 20
contracts at 97.440 on 02/09/2013 and held them through to 97.410
on 05/09/2013, what profit/loss would you have made? Does your
profit agree with the “Revaluation” figure of (-)$1,461 shown
in the table above? Why did this group make a loss of $974 between
10/09/2013 and 12/09/2013?
Day Bank Bill trades for a person in the Capital Markets.
(a) For each futures
“rate” in the table above, what is the corresponding yield? Why are
interest rate futures contracts quoted as (100 – yield)?
(b) What is the price of a bank
bill futures contract at each of these yields? (NOTE: The ASX bank
bill futures contract is for a 90 day bank bill with face value of
$1,000,000). (ANSWER: $993,727.27 at a yield of 2.560%)
(c) If you bought 20
contracts at 97.440 on 02/09/2013 and held them through to 97.410
on 05/09/2013, what profit/loss would you have made? Does your
profit agree with the “Revaluation” figure of (-)$1,461 shown
in the table above? Why did this group make a loss of $974 between
10/09/2013 and 12/09/2013?