# Collateralized Commodity Futures Position

Hey all, This question is giving me a bit of a headache. A manager establishes a collateralized commodity futures position with a contract value of \$20 million. He purchases a 60-day Treasury bills (T-bills) with a bank discount yield of 8.867% to collateralize the futures position. After 60 days, the loss on the futures position is \$100,000. The holding period return on the collateralized futures position is closest to: A. -0.5000% B. .9978% C. 1.000% D. 1.2254% The answer key says the answer is C. " The actual discount on the 60-day T-bills 0.08867 (60/360) = 0.014778, so the effective 60-day yield is 1/(1 – 0.014778) – 1 = 1.5%." Why is this part true? I can’t seem to figure out what the effective 60-day yield is. Any ideas? Thanks

this one got me. damn they are playing with the MMY formula: MMY = BDY(360/D) they flip the 360/D part to get 1.5% once you have that, you jus add 1.5% to loss on the futures (100,000 or NEGATIVE .005) and you get 1% thanks for posting this one!!!

i got .9925