Exam 17: Futures Contracts

An investor purchased 100 SPI200 futures contracts when the price was 6450.Twelve months later the investor reversed out when the price was 5960.The investor made a loss of $_____________. (Enter numbers only,no spaces or thousands separators. )

On 31 December 2001,the All Ordinaries Index closed at 3427 points and the September 2002 SPI 200 futures was priced at 3473 points.A speculator believes that share prices are likely to fall and so decides to sell September 2002 SPI 200 futures immediately.One week later,when the All Ordinaries Index rises to 3435 points and the September 2002 SPI 200 futures falls to 3471 points,the speculator decides to reverse her position.How much profit/loss does the speculator make?

The value of a bank bill futures price can be expressed as:

A personalised contract between two parties whereby one party agrees to sell a bale of wool to another party in the future at a price determined today is an example of a:

Which concept is similar to a spread but refers to positions in futures contracts on different commodities rather than on the same commodity for different months?

The financial controller of No interest Ltd has planned that the company borrow using a 90-day bank bill facility with face value of $500 000 in four weeks.Interest rates on 90-day bank bills are currently 12% p.a.As a protection against possible interest rate increases,she has entered into a futures contract by selling one bank bill futures contract at a price of $88.50.After the four-week period,she reverses the futures position at $86.50 and issues a bank bill at a rate of 14% p.a.Calculate the dollar shortfall that Nointerest would have faced had it not entered into the futures contract.

A call option on a futures contract:

Distinguish between a forward-rate agreement (FRA)and a futures contract.

Calculate the dollar price implicit in a bank-accepted bill futures contract with a face value of $1 000 000,a reported price of $95.00 (the price of the trade),and 90 days to maturity.

Calculate the price of a bank bill with 90 days remaining to maturity,with face value of $100 000 and priced to yield 10% p.a.

The objective of a hedger is to:

Consider a bond with exactly three years to maturity,a face value of $100 and a coupon interest rate of 6.6% p.a. ,payable half yearly.If the required yield is 7.2% p.a. ,what is the price of the bond?

The Sydney Futures Exchange opened for trading in:

Which of the following statements is true?

_____________________ refers to the fact that the commodity that is the subject of the futures contract is not precisely the same as the commodity that is of interest to the hedger.

The 10-year bond futures contract can be useful in hedging against an exposure to changes in ____________ fixed-interest rates.

Calculate the profit (loss)to a short hedger due to basis risk from the following information:

Which of the following is true regarding a futures contract?

If two parties enter into the same futures contract,one as a buyer and the other as a seller,how many contracts are formed?

Forward Rate Agreements (FRAs)lack flexibility due to the difficulty to reverse out of the contract.