Exhibit 21.6
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Assume that you observe the following prices in the T-Bill and Eurodollar futures markets $$\begin{array}{l}
\begin{array} { c c }
&\text { T-Bill } & \text { Eurodollar } \
\hline \text { September }& 93.25 & 92.35
\end{array}
\end{array}$$
-Refer to Exhibit 21.6. Assume that a month later the price of the September T-Bill future is 93 and the price of the Eurodollar future is 90.25. Calculate the profit on the T-Bill futures position.
A)25 basis points.
B)110 basis points.
C)-25 basis points.
D)-110 basis points.
E)50 basis points.

Question

Exhibit 21.6
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Assume that you observe the following prices in the T-Bill and Eurodollar futures markets $$\begin{array}{l}
\begin{array} { c c } 
&\text { T-Bill } & \text { Eurodollar } \
\hline \text { September }& 93.25 & 92.35
\end{array}
\end{array}$$
-Refer to Exhibit 21.6. Assume that a month later the price of the September T-Bill future is 93 and the price of the Eurodollar future is 90.25. Calculate the profit on the T-Bill futures position.
A)25 basis points.
B)110 basis points.
C)-25 basis points.
D)-110 basis points.
E)50 basis points.

Quizplus · Accepted Answer

The initial price of the T-Bill future was 93.25, and a month later it is 93. The profit is calculated as the difference: 93 - 93.25 = -0.25, which is -25 basis points.

Exhibit 21 T-Bill Eurodollar September 93.2592.35\begin{array}{l}\begin{array} { c c } &\text { T-Bill } & \text { Eurodollar } \\\hline \text { September }& 93.25 & 92.35\end{array}\end{array} September ​ T-Bill 93.25​ Eurodollar 92.35​​​

Exhibit 21 $\begin{array}{l}\begin{array} { c c } &\text { T-Bill } & \text { Eurodollar } \\\hline \text { September }& 93.25 & 92.35\end{array}\end{array}$