1. A portfolio manager currently takes a short position in 50 NASDAQ-100 E-mini futures contracts at the futures price of 2,400.75 per contract. The NASDAQ-100 E-mini futures contract multiplier is 20. A month later, the investor closes out the position at the futures price of 2,425.75 without ever depositing or withdrawing any margin during the month.
The gain or loss resulting from the trade is closest to:
A $1,250.
B –$1,250.
C $25,000.
D –$25,000.
2. Consider a 1-year quarterly pay swap with a notional principal of $10 million, a fixed rate of 4.5%, and a floating rate of 90-day LIBOR plus 150 basis points. Both payers base payments on 360-day years.
Assume that 90-day LIBOR forward rates were 3.2%, 3.6%, 3.8%, and 4% on the four swap settlement dates, respectively. On the final settlement date, the floating-rate payer will:
A pay $20,000.
B receive $20,000.
C pay $25,000.
D receive $25,000.