[Shafiulla]

John thanks for clarifying it.

[Shafiulla]

Hi there,

Can you please explain to me if there is any expired/unexpired basis in the below interest rate futures question. Couldn’t figure it out.

– Company wants to borrow $30Mn in 3 months from now and funding is needed only for
a period of 3 months.
– Now = end of June 2017.
– 3 months US Dollars Futures price : June 2017 96.87 & September 96.79.
– Currently LIBOR is 3% and company can borrow @ LIBOR +0.9%.
– Interest Rates could increase by 0.5% in 3 months from now.
– Derivative contracts will mature at the end of the month.

Thanking you in advance.

[Author]

Posts