Schwezer Qn: Futures position, interest, contract, next

dandman

Relevant part of Qn:

Given Info:

1. Annualized 90-day LIBOR is 7.6%.

2. Globos’ economists expect annualized 90-day LIBOR to rise to 7.9% over the next 60 days.

Question:

Assume that Globos has taken a position in the Eurodollar futures contract, it is now 60 days later and the contract is expiring. Globos interest rate forecast for 90-day LIBOR was correct. The value of the futures contract at expiration is closest to:

A) $921,000.

B) $980,250.

C) $981,000.