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Please show work. Thank you ! Annual coupon rate of hypothetical bond in futures contract 6.00% Futures Prices: Treasury Bonds Delivery Month (1) Dec Mar
Please show work. Thank you !
Annual coupon rate of hypothetical bond in futures contract 6.00% Futures Prices: Treasury Bonds Delivery Month (1) Dec Mar June $100,000 Open (2) 94'28 96'03 9503 High (3) 9513 9603 95'17 Pts. 32nds of 100% Low (4) 94'22 95'13 95'03 Settle (5) 9505 95'25 95'17 Change Open Interest (6) +0'07 591,944 +0'08 120,353 +0'08 13,597 To protect from rising interest rates, firm must sell futures contracts Whole percentage of quote 32nds of 100% of quote 95 17 Value of 1 futures contract Number of futures contracts to sell to the nearest whole) Total value of futures contracts Formulas #N/A #N/A #N/A Determination of how well hedge performed Value of bond issue at increased interest rate Loss on bond issue #N/A #N/A Implied yield at time futures contract entered Yield with increase in interest rates #N/A #N/A Value of 1 futures contract Total value of futures contracts #N/A #N/A Profit on futures contracts, ignoring commissions #N/A Net profit #N/A Annual coupon rate of hypothetical bond in futures contract 6.00% Futures Prices: Treasury Bonds Delivery Month (1) Dec Mar June $100,000 Open (2) 94'28 96'03 9503 High (3) 9513 9603 95'17 Pts. 32nds of 100% Low (4) 94'22 95'13 95'03 Settle (5) 9505 95'25 95'17 Change Open Interest (6) +0'07 591,944 +0'08 120,353 +0'08 13,597 To protect from rising interest rates, firm must sell futures contracts Whole percentage of quote 32nds of 100% of quote 95 17 Value of 1 futures contract Number of futures contracts to sell to the nearest whole) Total value of futures contracts Formulas #N/A #N/A #N/A Determination of how well hedge performed Value of bond issue at increased interest rate Loss on bond issue #N/A #N/A Implied yield at time futures contract entered Yield with increase in interest rates #N/A #N/A Value of 1 futures contract Total value of futures contracts #N/A #N/A Profit on futures contracts, ignoring commissions #N/A Net profit #N/AStep by Step Solution
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