Question
Your company will need to borrow $ 8 million next June for a term of 3 months If the actual 3 month B/A trades at
Your company will need to borrow $ 8 million next June for a term of 3 months If the actual 3 month B/A trades at 6.45%, the BAX June 2024 trades at 6.95% and the BAX September 2024 trades at 6.15%: A) Please write the future contract B) If at maturity CDOR is 93.45, please indicate the outcome of your future hedge: i) indicate if you have a profit or a loss ii) calculate how much is that outcome. C) If you had decided to hedge with an Option at 25 basis points OTM (out of the money): i ) what would have been the strike price? ii) would you have acquired a Call or a Put option?
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