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home / study / business / finance / finance questions and answers / in march, fiona fox, treasury manager for the global gathering corporation, and plans on purchasing ... Question: In March, Fiona Fox, Treasury Manager for the Global Gathering Corporation, and plans on purchasi... In March, Fiona Fox, Treasury Manager for the Global Gathering Corporation, and plans on purchasing $1,000,000 of 91 day T-bills for the companys short-term portfolio when that amount of cash comes in to the company in May. At this time, the 91 day T-bill discount rate is 1.670%, implying a price of $1,000,000 [1 (.0167 x 91/360)] = $995,778.61. At this time, on the CME Group website, the May 2018 futures price for 90- day Eurodollar CD, the IMM index price is quoted as 97.695 (implying a discount rate of 100% - 97.695% = 2.305%), and each contract is for $ 1 million, implying a contract price of $1,000,000 [1 (.02305 x 90/360)] = $ 994,237.50. b. Suppose in May, the T-bill discount rate falls to 1.47% and the Eurodollar CD discount rate falls to 2.105%, what is the gain or loss on the spot position and on the futures position, and the net hedging result? Spot Gain or Loss ____________ Futures Gain or Loss _________________ Net Hedging Result _______________________
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