You pure hase a Treasury-bond futures contract with an initial margin requiremen

Question

You pure hase a Treasury-bond futures contract with an initial margin requirement of 15% and a futures price of $114.050. The contract is traded on a $100.000 underlying par value bond. If the futures price falls to $106.200. what will be the percentage loss on your position? (Input the value as positive value. Do not round intermediate calculations. Round your answer to 2 decimal places.) Total percentage loss % A corporation has issued a $22 million issue of floating-rate bonds on which it pays an interest rate 1.2% over the LIBOR rate. The bonds are selling at par value. The firm is worried that rates are about to rise, and it would like to lock in a fixed interest rate on its borrowings. The firm sees that dealers in the swap market are offering swaps of LIBOR for 6%. A swap arrangement converts the firm's borrowings to a synthetic fixed-rate loan. What interest rate will it pay on that synthetic fixed-rate loan? (Round your answer to 1 decimal place)

Explanation / Answer

8)Percentage Loss on our Position = (114,050-106,200)/(114,050*15%) * 100

= 7850/17108 * 100

= 45.89%

9)Previous Interest Rate without Swap = Libor + 1.2%

Libor can be exchanged with 6% fixed interest rate

So new interest rate after swap = 6 + 1.2 = 7.2%

8)Percentage Loss on our Position = (114,050-106,200)/(114,050*15%) * 100

= 7850/17108 * 100

= 45.89%

9)Previous Interest Rate without Swap = Libor + 1.2%

Libor can be exchanged with 6% fixed interest rate

So new interest rate after swap = 6 + 1.2 = 7.2%

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