23. One BAB futures contract trading at 92.09 has a contract value of: A.$980 86

Question

23. One BAB futures contract trading at 92.09 has a contract value of:

A.$980 869

B.$981 723

C.$981 540

D.$981 209

E.$980 140

25. Suppose that in June, when the 90-day BBSW is 5%, the prices for the September and December BAB futures contracts are 95.10 and 95.15, respectively.

A.The 180-day rate will be 4.85%.

B.The 90-day rate is expected to be 4.90% in September.

C.The 180-day rate will be 4.95%.

D.The futures market expects the RBA will cut the cash rate by 25 basis points in September.

E.There would be a normal yield curve in the money market.

30. A company is planning to issue BABs next month for which their bank charges an acceptance fee of 110 basis points. They hedge their exposure using BAB futures at a price of 94.50. It turns out the 90-day rate at the time of issue is 5.65%. The company’s cost of funds is:

A. 5.50%

B. 5.65%

C. 6.60%

D. 6.75%.

E. None of these.

32. If December 2015 30-day interbank futures contracts are trading at 94.015, the total value of two contracts is:

A. $14 758

B. $14 500

C. $29 758

D. $29 506

E. $29 515

35. Calculate the profit or loss for a trader (ignoring brokerage) who purchased 10 SPI futures contracts at 6250 and subsequently closed out at 6300.

A. $50 profit

B. $500 profit

C. $1250 profit

D. $12 500 profit

E. None of these are correct.

Explanation / Answer

Answer 23 )As BAB is trading at 92.09, provide annual yield of = 100 - 92.09 = 7.91

So, value of contract = 1000000 / (1+ (0.0791*(90/365))) = $ $980 869 option A

Answer 25) In Sep , 100-94.10= 4.90 in 90 days

B.The 90-day rate is expected to be 4.90% in September.

Answer 30) (100-94.5)+ 110 basis point

C. 6.60%

Answer 32)

$1450

Answer 35)

Option B

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