Question
(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
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started