D. The futures exchange replaces the failed counterparty with a solvent one E. None above 6. Suppose you enter into a long 6-month forward contract with F-$50. What is the payoff in 6 month, if the spot price jumps up to S-$807 A. $30 B. -$30 C. $50 D. $80 E. Cannot determine 7. For a 6x12 FRA contract, A uses 180-day LIBOR and expires in 6 months B. it uses 180-day LIBOR and expires in 12 months C. it uses 120-day LIBOR and expires in 6 months D. it uses 120-day LIBOR and expires in 12 months E. None above 8. Suppose that a party wanted to enter an FRA that expires in 42 days and is based on 137- day LIBOR. The dealer quotes a rate of 4.75% on the FRA . Assume that at expiration, the 137-day LIBOR is 4 % , and the notional amount is $20,000,000. What is the payoff of the FRA short position? A. -$56,227 B. $56,227 C. -$2,773,066 D. $2,773,066 E. None above Consider a hypothetical futures contract in which the current price is $82. The initial margin requirement is $5, and the maintenance margin requirement is $2. You go long 20 contracts and meet all margin calls but do not withdraw any excess margin. The settlement price and the spot price of the underlying from day 0 to day 6 look like the following: The following information applies to Question # 9- # 15: Spot Price of the Underlying 80 Settlement Price 82 Day 0 81 84 1 80 78 2 75 73 77 79 4 86 82 5 90 84 6 3 The following chart might help you organize your calculations Price Change Gain/Loss Ending Futures Settlement Spot Price Balance Funds Deposited Price Begging Balance Day 1 .. 9. Suppose you receive margin call at the beginning of the day, when your account is equal and less than maintenance margin. Which is the first day that you will receive margin call at the beginning of that day? A. Day 1 B. Day 2 C. Day 3 D. Day 4 E. None above 10. What is the total amount that you are going to put in your account, from day 0 to day 6? A. $5 B. $100 C. $180 $220 E. None above 11. What is total loss and profit from Day 0 to Day 6, if the long holder always stays in the market? A. $40 B. $2 C.$100 D. $200 E. None above 12. Suppose the day 6 is the expiration date of the futures contracts. Which one of the following action is not allowed in day 5 (one day before expiration)? A. Wait until day 6 B. Withdraw money from your account C. Close off all the positions D. Enter more long contracts E. All the actions above are allowed