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1. It is expected that your company will need to borrow 10 million Euros in two months and for a period of three months. At
1. It is expected that your company will need to borrow 10 million Euros in two months and for a period of three months. At present, futures in the Euribor quarter ending in two months are trading at 97.20. a. What position should be opened in the SMEs to cover the interest rate risk, given that the nominal value of each futures contract is 500,000 Euro b. Calculate the gain or loss that will result from the position in the SMEs if after two months the Euribor quarter is either at 2% or at 4%.
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