Question 17 and 18

15. A $100,000 par value T-bond futures contract trades at $98,700. T-bond rates increase by 100 basis points from 7.0% to 8.0%. The T-bond has a duration of 9 years. What is the change in the value of T-bond futures contract? a) $8,385.98 b) $8,301.87 c) $9,504.81 d) -$8,385.98 16. The current relevant yield to maturity on a 5-year bond with 4 years to maturity is 9%. If bond has a 6% coupon rate paid annually. What is the price of the bond? a) $902.81 b) $521.33 c) $883.31 d) $982.81 17. A bank has acquired an interest rate cap at 4.25%. The national amount of the upcoming, pending loan to the bank is $10 million. What is the amount of the gain or loss to the bank if the market interest rate reaches 4.75% at the time the loan is executed? a) $50,000 b) $75,000 c) $7,500 d) $500,000 18. With respect to derivatives, of the underlying asset is the same as the derivative and the dates of acquisition and termination match, then there is no basis risk. (True/False)