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

Finance  Anonymous, Sunday, December 2, 2012 at 8:45pm
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%

Finance  jone, Tuesday, February 5, 2013 at 7:17pm
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

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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