Posted by **Ma** on Monday, September 26, 2011 at 3:07am.

Suppose the September CBOT Treasury bond futures contract has a quoted price of 89-09. What is the implied annual interest rate inherent in this futures contract? Assume this contract is based on a 20 year Treasury bond with semi-annual interest payments. The face value of the bond is $1000, and the semi-annual coupon payments are $30. The annual coupon rate on the bonds is $60 per bond (or 6%). The futures contract has 100 bonds.

- Finance -
**Anonymous**, Sunday, December 2, 2012 at 8:45pm
N: 40

PV = (0.89+0.09/32) × $1,000 = -$892.81

FV = $1,000

PMT = $30

I/YR = 3.5%

Annual rate: I/YR × 2 = 7.00%

- Finance -
**jone**, Tuesday, February 5, 2013 at 7:17pm
1-Suppose the September CBOT Treasury bond futures contract has a quoted price of 89-09. What is the implied annual interest rate inherent in this futures contract?

a. 6.32%

b. 6.65%

c. 7.00%

d. 7.35%

e. 7.72%

2-Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. What is the implied annual interest rate inherent in the futures contract?

a. 6.86%

b. 7.22%

c. 7.60%

d. 8.00%

e. 8.40%

3-Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. If annual interest rates go up by 1.00 percentage point, what is the gain or loss on the futures contract? (Assume a $1,000 par value, and round to the nearest whole dollar.)

a. -$78.00

b. -$82.00

c. -$86.00

d. -$90.00

e. -$95.00

- Finance -
**Anonymous**, Sunday, March 30, 2014 at 1:33am
3 is d

- Finance -
**Anonymous**, Saturday, March 28, 2015 at 7:36am
I think 3 is loss of $78

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