Finance
posted by Ma on .
Suppose the September CBOT Treasury bond futures contract has a quoted price of 8909. What is the implied annual interest rate inherent in this futures contract? Assume this contract is based on a 20 year Treasury bond with semiannual interest payments. The face value of the bond is $1000, and the semiannual coupon payments are $30. The annual coupon rate on the bonds is $60 per bond (or 6%). The futures contract has 100 bonds.

N: 40
PV = (0.89+0.09/32) Ã— $1,000 = $892.81
FV = $1,000
PMT = $30
I/YR = 3.5%
Annual rate: I/YR Ã— 2 = 7.00% 
1Suppose the September CBOT Treasury bond futures contract has a quoted price of 8909. 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%
2Suppose the December CBOT Treasury bond futures contract has a quoted price of 8007. 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%
3Suppose the December CBOT Treasury bond futures contract has a quoted price of 8007. 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 
3 is d

I think 3 is loss of $78