Exhibit 21 $$\begin{array}{l}\begin{array} { c c } &\text { T-Bill } & \text { Eurodollar } \\\hline \text { September }& 95.24 & 94.6\end{array}\end{array}$$

question 86

Multiple Choice

Exhibit 21.7
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Assume that you observe the following prices in the T-Bill and Eurodollar futures markets $$\begin{array}{l}\begin{array} { c c } &\text { T-Bill } & \text { Eurodollar } \\\hline \text { September }& 95.24 & 94.6\end{array}\end{array}$$
-Refer to Exhibit 21.7. Assume that a month later the price of the September T-Bill future is 96.25 and the price of the Eurodollar future is 95.9. Calculate the profit on the Eurodollar futures position.

• A)101 basis points.
• B)130 basis points.
• C)-101 basis points.
• D)-130 basis points.
• E)29 basis points.

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