KIC000067 - It.c i i i Short-Term Futures(LIBOR fitese are...

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Unformatted text preview: It...c_ i i i Short-Term Futures (LIBOR) - fitese are based on the 3-month LIBOR rate and in 1 million dollars face value. ' Quotes are: (100 — annualized LIBDR) - If 3-month annualized futures LIBOR is 3.3%, index is 96.7. - This is a cash settled market. The cash settlement ls based an die LIBOR rate at the settlement date. - Ex‘ample— iffutures 3-month UBOR is 3.30% and UBOR is 3.65% at close, then change is = S 1 MM x (essentials/360) - s 1 Mill x (0.03551): [so/sea) = sum-$9.125 = ~ $375 bow PayS‘ Out W875 Short-Term Futures (t—bill) The t-bill futures are based on the 3-month bill and are 1 milliun face value and physical delivery. The seller (short) must dellverto the buyer (long) 1 million in face value of t-bills with 3 months remaining to maturity. These can be either new 3-month t-bills or seasoned t-bills that were issued previously that are due in 3 mnnflis. Prices are on a dollar discount basis which is derived from the bank discountyield quoted In the Hill market. Index prioe : mo—v‘mo => 5% annual yield => index = 95.0 Invoice price = 1 Mil — Dollar Discount ELF/Er of contract must pay invoine price atsettlement for deliveryaf 1 Mill in face value of 3-month in Haills. Short-Term Futures [Fed Funds) This is a $5 million contact and is a cash settlement. Can be based on current monthor up to 2-years in future. ' Based on average of overnight rate over the month and is settled on the last day ofthe month. Also quoted on 100 — annual rate = Index . r..».~.m—wmm~.as. = ...
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