22-128 If Canadian dollar futures prices fall $.0199 per Canadian dollar from today's settlement prices,and there is no basis risk,what is the profit/loss on the futures position if the bank fully hedges currency risk?
A)Sell 13 futures contracts for an end-of-year futures profit of $25,870.
B)Buy 13 futures contracts for an end-of-year futures profit of $25,870.
C)Sell 13 futures contracts for an end-of-year futures profit of $78,370.
D)Buy 13 futures contracts for an end-of-year futures profit of $78,370.
E)Sell 1 futures contract for an end-of-year futures profit of $76,380.

Question

Quizplus · Accepted Answer

The profit/loss is calculated by multiplying the change in futures price by the contract size and the number of contracts. Selling 13 contracts with a price drop of $0.0199 results in a profit of $25,870.

22-128 If Canadian Dollar Futures Prices Fall