Copy of 86811-futures

# Copy of 86811-futures - SUPPOSE THE DECEMBER CBOT TREASURY...

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A. LOSS OF \$78, B. GAIN OF \$78, C. LOSS OF \$145, D. GAIN OF \$145, OR E. NONE OF THE ABOVE Answer: A. LOSS OF \$78, We are being asked to find the implied interest rate on a Treasury bond futures contract that settle rates increased by 1 percent, what would be the contract's new value? The difference in these value Settle price on futures contract as quoted = 90 and 18 Settle price on futures contract (% of par, decimal) = 90.56250% Implied Yield Settle price on futures contract (% of par, decimal) = 90.56250% Maturity of bond underlying futures contract = 20 Coupon rate on bond underlying futures contract = 6% N= 40 = 20 years x 2 (as coupon is paid semiannually) PV= -\$905.6250 The price of a bond with a face value of \$1000; negative sign becaus =90.5625x 1000/100 PMT= \$30 semiannual coupon payment of (6% /2 =3%) x \$1000 = \$30 FV= \$1,000 The redemption value of the bond= Par Value = \$1000 I= 3.4377% calculated using the EXCEL function RATE; this rate corresponds to Implied annual yield =

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Copy of 86811-futures - SUPPOSE THE DECEMBER CBOT TREASURY...

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