On 31 October 2012 Gordon Investment Ltd Has a Well

question 31

True/False

On 31 October 2012 Gordon Investment Ltd has a well diversified portfolio of shares that it is intending to sell in three months time. To hedge against the adverse movements in the price of these shares, the manager obtained four "sell" contracts with DSI Futures. A deposit of $20,000 was required by the broker. A standard futures contract is $25 per basis point.
On 31 January 2013, Gordon Investment Ltd closed out all four contracts.
The following information is provided.

What is the fair value of the futures contract on 31 December 2012 and the cash received from DSI futures on 31 January 2013, respectively?
A. ($5 000); $370 000;
B. ($5 000; $40 000;
C. $10 000; $370 000;
D. $10 000; $40 000;
E. None of the given answers

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