If canadian dollar futures prices fall 0199 per

96. If Canadian dollar futures prices fall $.0199 per Canadian dollar from today's settlement prices and there
is no basis risk, what is the profit/loss on the futures position if the bank fully hedges currency risk?
A. Sell 13 futures contracts for an end-of-year futures profit of $25,870
B. Buy 13 futures contracts for an end-of-year futures profit of $25,870
C. Sell 13 futures contracts for an end-of-year futures profit of $78,370
D. Buy 13 futures contracts for an end-of-year futures profit of $78,370
E. Sell 1 futures contract for an end-of-year futures profit of $76,380
Saunders - Chapter 23 #96

97. If Treasury note futures prices fall to 98-17 in one year, what is the profit/loss on the futures position if
the bank fully hedges interest rate risk exposure? Assume that the duration of the Canadian bonds is the
same as the duration of Treasury note futures.
Saunders - Chapter 23 #97
98. Catastrophe futures contracts
Saunders - Chapter 23 #98
99. Who are the common buyers of credit forwards?
Saunders - Chapter 23 #99
100. What is the reason for decrease in the number of futures contract needed to hedge a cash position in
case of tailing the hedge?
A. Lower average transaction costs resulting from higher number of transactions
B. Interest income generated from reinvesting the cash flows generated by the futures contracts
C. Lack of perfect correlation between spot and futures prices
D. The effect of conversion factor
E. Hedging only a proportion of balance sheet position
Saunders - Chapter 23 #100