31/1 30/5

Borrow
A decrease in interes 4.25% 8,000,000
Sport rate 3.50%
Price would be 96.50
8
0.75 0.1875

June futures 95.75

Actual postion
Gain 75.00 25 8

Effective interest 3.5%

30/4 4 month 1/9

Borrow
Increase in interest would be the issue 4,750,000.00
Spot rate spot
5.45% 5.14%

94.55 September future 94.86

Number of contact to be sell on september 1st

9.5 10 contracts

10.00 12.5 31 3,875.00

Actual interest 61,037.50

Loss 3,875.00
64,912.50 Effective interest 5.47%

30/6 4 months 30/10 3 month

Borrow
Spot rate 4.30% 20,000,000.00
spot 4.10% 95.9 Difference
Future pric 95.7 -0.16
96.3 December 96.06
-0.6 60 basese point 10 per month 20
Sell futures December 96.3
Buy 96.06
0.24 24 Ticks
Contract size 20
Gain (loss) 12000

Actual intrest pa 205,000

Gain (loss) 12,000
Total interest pa 193,000 Effective interest 3.86%

30/11 5 month 30/4 4 months

Borrow
Spot rate 60,000,000.00 libor Total
5.50% Spot libor 5.75% 0.75% 6.50%
Libor
94.50 Basis 94.25
94.85 June -0.35 -0.05 94.35
-0.25 5
-0.10 -0.25

Contract needed to sell in april 160

Sell 94.85
Buy 94.35
Gain or loss 0.50 160 100000
Ticks 50

Actual interest would be 1,300,000

Future gain or loss 100,000
1,200,000

Effective interest 6%
 31/8

Contarcts will be needed and sell june

Futures pri 95.75

85000
-15000
70000

3 month 30/11 Future

3 month futures
500,000.00
Tick value 12.5

Sell 94.55
Buy 94.86
Loss of -0.31

31/1
3 month futures
Contract si 1000000
Tick value 25
 16
4 basis risk

31/8
Future contract
3 month
Contract si 500000
Tick size 0.01%
Tick value 12.5