Reference no: EM133073083

-Your investment firm wants to lock in 3-month Eurodollar borrowing rates. They want to borrow $5 million for 3 months, starting in March 2022. You look up information regarding the Eurodollar futures at:

https://www.cmegroup.com/markets/interest-rates/stirs/eurodollar.html

Include a screen capture of the futures quote page with your assignment submission.

-What is your firm's position in these contracts (long/short, # of contracts)?

-What would be your initial balance in your margin account? Assume that the initial margin is 10% higher than the maintenance margin.

-Assume that you entered the position at the last price. At what annualized interest rate has the firm locked its borrowing?

-The next day, the March 2022 futures price increases by 0.02 (e.g. from 99.43 to 99.45; but it will be different for you depending on what price you start at). How would your margin balance change for this day? Would you be subject to a margin call?

At the maturity of your futures contract, the final price is 99.55. What would be the overall profit/loss from your futures position? Show how you effectively locked in the borrowing rate for your firm at your answer to (c) through the use of the interest rate futures contracts.