Market information about futures contract

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Reference no: EM131966950

At time 0, you have the following market information about futures contract on a 3-month U.S. Treasury-bill with a face value of $1,000,000: Underlying asset : 3-month T-bills (CME) with a face value of $1,000,000 Settlement Date : 3 months from now Futures Price : 100 points (100% of the face value)

You have decided to take a long position on the futures contract. That is, you buy one 3-month T-bill contract at time 0. Three months has passed and your contract is about to expire:

If the futures price has gone up to 105 points (105% of the face value), will you realize a profit or a loss? How much? Explain.

What if the futures price has gone down to 95 points (95% of the face value)? Will you realize a profit or loss? How much? Explain.

Reference no: EM131966950

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