|
Jun 08
|
Open
|
High
|
Low
|
Settle
|
Chg
|
High
|
Lifetime
|
Low
|
Open Int
|
|
Eurodollar (CME) -$1,000,000; pts of 100 %
|
|
Jun 08
|
97.2725
|
97.2875
|
97.2025
|
97.2150
|
-.0520
|
98.2550
|
|
91.6800
|
1,264,397
|
|
Jly 08
|
97.2150
|
97.2250
|
97.0900
|
97.1200
|
-.1150
|
98.1850
|
97.0300
|
13,725
|
|
Aug 08
|
97.1200
|
97.1200
|
96.9500
|
96.9850
|
-.2150
|
98.2200
|
96.9500
|
2,929
|
|
Sep 08
|
97.1600
|
97.1850
|
96.8300
|
96.8850
|
-.2850
|
98.3350
|
91.6800
|
1,453,920
|
|
Dec 08
|
96.9750
|
97.0050
|
96.5500
|
96.6050
|
-.3800
|
98.2650
|
91.5700
|
1,384,300
|
|
Mar 09
|
96.8850
|
96.9200
|
96.4000
|
96.4550
|
-.4400
|
98.1850
|
91.5750
|
1,229,271
|
|
Jun 09
|
96.6900
|
96.7350
|
96.2200
|
96.2600
|
-.4500
|
98.0000
|
91.3100
|
985,412
|
|
Sep 09
|
96.4600
|
96.4900
|
96.0200
|
96.0450
|
-.4200
|
97.7700
|
91.2600
|
813,642
|
|
Dec 09
|
96.1650
|
96.2000
|
95.7750
|
95.8000
|
-.3700
|
97.5050
|
91.1600
|
607,401
|
|
Mar 10
|
95.9500
|
95.9850
|
95.5900
|
95.6150
|
-.3350
|
97.2750
|
91.4850
|
474,017
|
Q1: Use the quotes of Eurodollar futures contracts traded on the Chicago Mercantile Exchange as shown below to answer the following questions:
a. What is the annualized discount yield based on the "low index price for the nearest March contract?
b. If your financial firm took a short position at the high price for the day for 15 tracts contracts, what would be the dollar gain or loss at settlement on June 9, 2008?
c. If you deposited the initial required hedging margin in your equity account upon taking the position described in b, what would be the marked-to-market value of your equity account at settlement?
Q2: What kind of futures or options hedges would be called for in the situations?
a. Market interest rates are expected to increase and your financial firm asset-liability managers expect to liquidate a portion of their bond portfolio to meet customers' demands for funds in the upcoming quarter.
b. A survey of Tuskee Bank's corporate loan this month January) their cates that on balance, this group of firms will need to draw $165 million from credit lines in February and March, which is $65 million more than the bank management has forecasted and prepared for. The bank's economist has predicted a significant increase in money market interest rates over the next 60 days.
Q3: Discuss how these techniques can be applied to a large multinational company with a wide range of products using a published research paper from the (Using EBSCO/ Google scholar/Harvard review) Library. Attach your summary (Objective of the study and How the pricing and profitability are measured in the research paper? and Findings) with the Report.