Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

(TCO F) 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

(TCO F) 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 this contract is based on a 20-year Treasury bond with semiannual interest payments. The face value of the bond is $1,000, and the semiannual coupon payments are $30. The annual coupon rate on the bonds is $60 per bond (or 6%). The futures contract has 100 bonds. (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

Please show calculation steps.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Basic Finance An Introduction To Financial Institutions, Investments, And Management

Authors: Herbert B. Mayo

12th Edition

1337691011, 978-1337691017

Students also viewed these Finance questions

Question

2. Ask questions, listen rather than attempt to persuade.

Answered: 1 week ago

Question

1. Background knowledge of the subject and

Answered: 1 week ago