# Calculate the market value of a bank bill futures contract with a face value of \$1 000 000, a reported price of \$93.75 and 90 days to maturity. \$866…

1.Calculate the market value of a bank bill futures contract with a face value of \$1 000 000, a reported price of \$93.75 and 90 days to maturity.

A. \$866 468.84

B. \$983 628.65

C. \$984 822.93

D. \$998 461.28

2. 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

3 A company has an existing \$900 000 promissory note facility, which it will roll over in 90 days. It is concerned that interest rates will rise before the roll-over date and enters into a 90-day bank-accepted bill futures contract at 92.50. Three months later, the company closes out its futures position at 91.75. Using the following data, calculate the profit or loss position of the futures transactions. (Disregard margin calls and transaction costs.)

A. \$1 601.58 profit

B. \$1 601.58 loss

C. \$1 779.54 profit

D. \$1 779.54 loss

4. A funds manager manages a diversified Australian share portfolio, but is concerned that stock prices in the market will fall over the next three months. The manager decides to hedge the risk by selling 100 S&P/ASX All Ordinaries Share Price Index futures contracts at 23.55. Three months later, when the manager closes out the position, the contract is trading at 24.10. Calculate the profit or loss position of the futures transactions.

A. \$5500 loss

B. \$24 100 profit

C. \$137 500 loss

D. \$550 000 profit

6.A company will need to ‘roll over’ its existing \$500 000 funding arrangement in two months’ time for a further 90 days. It is concerned that interest rates in the short-term debt market may rise in the mean time, and decides to manage the risk exposure by entering into a forward rate agreement with its bank. The bank quotes a price (2Mv5M) of 9.45 to 30. In two months’ time the reference rate (BBSW) is 10.20% per annum. Calculate the settlement amount.

A. \$881.43

B. \$1058.10

C. \$1423.80

D. \$3750.00