Finance

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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 -

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 -

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 -

3 is d

• Finance -

I think 3 is loss of \$78