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5 a. The CTD bond for the June 2021 5-year T-note futures contract is the 0.25% bond maturing (4 points) 8/31/2025. As of 3/02/2021, it
5 a. The CTD bond for the June 2021 5-year T-note futures contract is the 0.25% bond maturing (4 points) 8/31/2025. As of 3/02/2021, it yield is 0.617%. Using the calculator below, find its Clean Price, Dirty Price, Modified Duration: To find price if yield is known: Settlement date: 3/2/21 Maturity date: 8/31/25 Coupon rate (in decimal form): Yield (in decimal form) Redemption (i.e. principal, typically 100) Frequency (number of cash flows per year) Basis (1 for U.S. Treasuries, 2 for corporates and municipals) 0.0025 0.00617 100 2 1 Clean Price Accrued interest Dirty Price Modified Duration 99.375.6 0.0014 99.3770 -4.4582 b. The most important delivery date for this futures contract is 6/20/2021 (110 days from trade date); accrued interest on that date is 0.0761. Financing rate is 0.25%. The CTD bond's delivery factor is 0.7908. What is the theoretical futures price? What is the Modified Duation of the futures contract? 5 a. The CTD bond for the June 2021 5-year T-note futures contract is the 0.25% bond maturing (4 points) 8/31/2025. As of 3/02/2021, it yield is 0.617%. Using the calculator below, find its Clean Price, Dirty Price, Modified Duration: To find price if yield is known: Settlement date: 3/2/21 Maturity date: 8/31/25 Coupon rate (in decimal form): Yield (in decimal form) Redemption (i.e. principal, typically 100) Frequency (number of cash flows per year) Basis (1 for U.S. Treasuries, 2 for corporates and municipals) 0.0025 0.00617 100 2 1 Clean Price Accrued interest Dirty Price Modified Duration 99.375.6 0.0014 99.3770 -4.4582 b. The most important delivery date for this futures contract is 6/20/2021 (110 days from trade date); accrued interest on that date is 0.0761. Financing rate is 0.25%. The CTD bond's delivery factor is 0.7908. What is the theoretical futures price? What is the Modified Duation of the futures contract
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