Unformatted text preview: per ton that you will have earned on your crop? A. $135 B. $145 C. $155 D. $165 E. None of the above. 8. Assume that in April you knew that you would have $1,000,000 in August to invest in 90day Tbills. At that time, 90day cash Tbills had a yield of 1.60%, 120day cash Tbills had a yield of 1.80% (a spread of +20 basis points), and the September 90day Tbill futures contract had a yield of 2.30%. You decided to hedge by purchasing the September futures contract, knowing that you would take off the hedge in August and purchase 90day cash Tbills. Assume that it is now August and the spread between 3month and 4month Tbills has changed to 15 basis points, such that 90day cash Tbills have a yield of 2.50% and 120day cash Tbills (as well as the September futures contract) have a yield of 2.35%. Based on this, determine your effective yield from this hedge. A. 2.60% B. 2.75% C. 2.45% D. 2.90% E. 2.30%...
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 Spring '08
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 Interest, Interest Rate, Forward contract, Ton, Clearing House, 90day cash Tbills

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