Calculate how much a futures trader who enters into a 90-day bank bill futures contract on 20 September with a reported price of $93.25 will need to pay on settlement date (30 September),if the face value of the underlying bill is $1 000 000.
A) $857 310.63
B) $983 628.65
C) $984 822.93
D) $998 338.38

Question

Quizplus · Accepted Answer

The futures price of $93.25 implies an interest rate of 6.75% (100 - 93.25). The settlement price is calculated using the formula: Face Value / (1 + (Interest Rate * Days/360)). Plugging in the values: $1,000,000 / (1 + (0.0675 * 90/360)) = $983,628.65.

Calculate How Much a Futures Trader Who Enters into a 90-Day