A business intends to use 90-day bank-accepted bill futures to hedge the interest rate risk resulting from its plans to
Posted: Sat Feb 26, 2022 9:06 am
A business intends to use 90-day bank-accepted bill futures to
hedge the interest rate risk resulting from its plans to borrow
approximately $40 million using the issue of commercial paper in
three months. The yield on commercial paper is currently 6.53% p.a.
and the 90-day bank-accepted bill futures are currently priced at
95.15.
The effective cost of funds if, in three months time the yield
on commercial paper is 7.5% p.a. and the 90-day bank-accepted bill
futures contract is priced at 94.77, is ______ % p.a. (rounded to
two decimal places)
hedge the interest rate risk resulting from its plans to borrow
approximately $40 million using the issue of commercial paper in
three months. The yield on commercial paper is currently 6.53% p.a.
and the 90-day bank-accepted bill futures are currently priced at
95.15.
The effective cost of funds if, in three months time the yield
on commercial paper is 7.5% p.a. and the 90-day bank-accepted bill
futures contract is priced at 94.77, is ______ % p.a. (rounded to
two decimal places)