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What is the implied nominal interest rate on a 10-year U.S. T-notes ($100,000)futures contract that settled at 103–060? If interest rates increased by 3%, what would bethe contract’s new value?

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter27: Multinational Financial Management

Section: Chapter Questions

Problem 2P: The nominal yield on 6-month T-bills is 7%, while default-free Japanese bonds that mature in 6...

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What is the implied nominal interest rate on a 10-year U.S. T-notes ($100,000)
futures contract that settled at 103–060? If interest rates increased by 3%, what would be
the contract’s new value?

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Step 1: Calculation of equivalents market price of futures contract

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Step 2 Calculation of approximate implied interest rate

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Step 3 Calculation of new contract value

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