5-Year U.S. Treasury Bond Futures Contract Quotes from 6/27/2013
CBT $100,000; pts 32nd of 100%
Month	Last	Change	Prior Settle	Open	High	Low	Volume	Updated
Jun 2013	121'240 a	+0'102	121'137	121'220	121'250 b	121'210	92	4:15:23 PM CT 6/27/2013
Sep 2013	121'015 b	+0'112	120'222	120'237	121'030	120'210	666,982	4:15:23 PM CT 6/27/2013

assume that the manager chooses to hedge the banks risk by buying (long) twenty 5-year U.S. Treasury bond futures contracts with an expiration of September, 2013. Use the quotes given in the table above where the contract price is the Last quote and the apostrophe replaces the dash seen in your textbook. An initial margin is deposited for all contracts as noted in the text. You can ignore any potential margin calls on this problem. a. If interest rates rise, will the bankers position be favorable? Why or why not? b. If at the end of the contract (September 2013), the manager reverses the banks position (sells all 20 contracts) and the contract is now quoted at 11416, how much money was made or lost on the futures contract? c. Given the initial margin, what is the holding period rate of return (i.e., profit/initial margin)?