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A: $1000*(89+8/32)/100 = 892.50 Value of contract- = 892.50*100 = $89,250
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The June Treasury bond futures contract has a quoted price of 95'12. What is the implied annual interest rate?
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- The Treasury bond futures contract has a target price of 89-8. What is the estimated annualized return?The June CBOT Treasury bond futures contract has a quoted price of 95'7. If annual interest rates go up by 1.75 percentage point, what is the gain or loss on the futures contract? Round to the nearest whole dollar.Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. What is the implied annual interest rate inherent in the futures contract? Assume this is a a 20 year bond with semi-annual interest payments. The face value of the bond is $1000, and the semi-annual coupon payments are $30.(a) 6.86%(b) 7.22%(c) 7.60%(d) 8.00%(e) 8.40%
- A Treasury bond futures contract is selling for 94’160. What is theimplied annual yield?On June 25, 2021, the futures price for the June 2021 bond futures contract is 118-23. What is the conversion factor for a bond maturing on January 1, 2034, paying acoupon of 10.00%, and a yield to maturity of 8%What is the implied interest rate on a Treasury bond ($100,000) futures contract that settled at 100’160? If interest rates increased by 1%, what wouldbe the contract’s new value?
- What is the calculated quoted futures price for a September 2022 Treasury bond futures contract given that the date is July 30, 2022? The associated bond is a 13% coupon bond set for delivery on September 30, 2022. The bond makes coupon payments twice a year, specifically on February 4 and August 4. The interest rate, compounded semiannually, is a steady 12% annually. The bond's conversion factor is 1.5, and the current quoted price for the bond stands at $110.Consider a T-bond maturing in March 2020 with coupon payments on September 1st and March 1st. Assume that the bond has $1000 par value, 10% coupon rate, and YTM = 12.5%. The bond is traded on December 13, 2013. What is the Accrued Interest? What is the full price? What is the flat price?Suppose that for a Treasury bond futures contract, the cheapest-to-deliver bond is a 4% coupon bond with a quoted price of 114.50 and conversion factor of 1.3150. The futures contract matures in six months and the next coupon will be paid in six months. There is no accrued interest. The six-month risk-free interest rate is 5%. What is the value of the Treasury bond futures contract?
- A three-month treasury bill sold for a price of $99.311998 per $100 face value. What is the yield to maturity of this bond expressed as an EAR?Suppose that the current 1-year rate ( 1-year spot rate) and expected 1-year T-bill rates over the following three years (i.e years 2,3, and 4 respectively) as follows: 1R1=3.22%, E(2r1)=4.65%,E(3r1)=5.15%,E(4r1)=6.65% Using the unbiased expectations theory, calculate the current (long-term) for one-, two-, three-, and four- year- maturity treasury securities. ( Round your answers to 2 decimal places.)The current quoted price of a 13% coupon bond is $110. It pays coupon semi-annually. The next coupon will be paid in 6-days (total number of days in this semi-annual period is 181) and the futures contract will last for 62-days. The term structure rate of interest is flat at 12% and the conversion factor for the bond is 1.5. Assume there is 184-days in half year for the futures. Compute the quoted futures price of the contract.(A) $110.01(B) $73.34(C) $112.03(D) $109.83