It is August 1st, 2022. For some reason, you want to price a US Treasury bond "Ultra T-bond" futures contract. The Ultra T-bond futures you are considering matures on September 30th, 2022. Your best Junior Analyst Katie let you know that the 'cheapest-to-deliver' bond is a 10-year US treasury with an 8% annual coupon, paid semi-annually, which has coupon payments every Apr 30th and Oct 31st. There have been 91 days since the bond's last coupon payment and are 182 days in the current coupon period. Thus, there are also 91 days until the bond's next coupon (on Halloween). There are 61 days from now until maturity of the Ultra T-bond (until Sept 30th). The current quoted price of the bond is $107. Assume the term structure is flat, with 10% annual continuous compounding. The bond's conversion factor is 1.15. What is the clean futures price of the Ultra T-bond, prior to adjusting for accrued interest or the bond's conversion factor?

It is August 1st, 2022. For some reason, you want to price a US Treasury bond "Ultra T-bond" futures contract. The Ultra T-bond futures you are considering matures on September 30th, 2022. Your best Junior Analyst Katie let you know that the 'cheapest-to-deliver' bond is a 10-year US treasury with an 8% annual coupon, paid semi-annually, which has coupon payments every Apr 30th and Oct 31st. There have been 91 days since the bond's last coupon payment and are 182 days in the current coupon period. Thus, there are also 91 days until the bond's next coupon (on Halloween). There are 61 days from now until maturity of the Ultra T-bond (until Sept 30th). The current quoted price of the bond is $107. Assume the term structure is flat, with 10% annual continuous compounding. The bond's conversion factor is 1.15. What is the clean futures price of the Ultra T-bond, prior to adjusting for accrued interest or the bond's conversion factor?

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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It is August 1st, 2022. For some reason, you want to price a US Treasury bond "Ultra T-bond" futures contract. The Ultra T-bond futures you are considering matures on September 30th, 2022. Your best Junior Analyst Katie let you know that the 'cheapest-to-deliver' bond is a 10-year US treasury with an 8% annual coupon, paid semi-annually, which has coupon payments every Apr 30th and Oct 31st. There have been 91 days since the bond's last coupon payment and are 182 days in the current coupon period. Thus, there are also 91 days until the bond's next coupon (on Halloween). There are 61 days from now until maturity of the Ultra T-bond (until Sept 30th). The current quoted price of the bond is $107. Assume the term structure is flat, with 10% annual continuous compounding. The bond's conversion factor is 1.15. What is the actual fair futures price of the Ultra T-bond, after adjusting for accrued interest, and applying the bond's conversion factor? Group of answer choices $91.05 $93.47…
In November 2016 you purchase a 4 year US Government bond. The bond has an annual coupon rate of 6.25%, paid semi-annually. If investors demand a 0.950% semiannual return, what is the price of the bond? Select one: a. 55000 b. 1210 c. 430 d. 70
In November 2014 you purchase a three-year U.S. government bond. The bond has an annual coupon rate of 4.25%, paid semiannually. If investors demand a 0.965% APR, what is the price of the bond? If you could demonstrate this solution in Excel, that would be appreciated.
You find the following Treasury Bond quotes. To calculate the number of years until maturity, assume that it is currently May 2022. All of the bonds have a par value of $1,000 and pay semi annual coupons. In the table, find the Treasury bond that matures in May 2034. What is your yield to maturity if you buy this bond?
Consider a government bond that pays coupon semi-annually on 15 February and 15 August each year, where the annual coupon rate is 7%. The face value of the bond is $100 and the bond is redeemable at par on 15 August 2030. If the current date is 27 March 2021 and the bond yield is quoted as 7.5% per annum compounded semi-annually, calculate the market price (which is also known as the clean price) with the help of the RBA formula.
Today is the 10th January 2023. You want to buy a Floating Rate Note (FRN) that matures on the 10th July 2027 and pays an annual coupon equal to LIBOR. Compute the fair price of the note. Use the data in Table 1. The LIBOR rate at selected dates are showed in Table 3. Please show your calculations. Discuss your result.
A government bond has coupon yield 10.9%, face value of 4000 EUR, and maturity in 2026. The coupons are paid yearly. Today is 2022, and we just received a coupon. The government yield curve for time-to-maturity 4 years shows a yield of 5.0%. 1. What is the fair price of the bond today? 2. What is the duration of the bond?
You wish to purchase a 10-year bond that was issued in 2013, par value $1,000 and has a 6% coupon rate, payable semi-annually. The bond matures in 2023 and you require a 10% nominal yield to maturity. What’s the term to maturity of the bond iin 2020? At what price should you be willing to pay for the bond in 2020? What’s the bond’s current yield?
Today is the 10th January 2023. You want to buy a Floating Rate Note (FRN) that matures on the 10th July 2027 and pays an annual coupon equal to LIBOR. Compute the fair price of the note. Use the data in Table 1. The LIBOR rate at selected dates are showed in Table 3. Please show your calculations. Discuss your result. Rates are continuously compounded- see attached image
Today is 31 Dec 2022, and you see a 5 year bond with 5% annual coupon maturing on 31 Dec 2027, quoted at a price of 95.5/95.6. What is the Dollar Value of 1 bps move in interest rates (DV01) for $10 million investment in this bond?
On January 2021, you buy a 10-year coupon bond with coupon payments of $10,000 per year and a final value of $100,000. The yield to maturity of this bond is 10 percent. On January 2022, you collect your first coupon and sell the bond in the bond market. On January 2022 the yield to maturity of this bond decreases to 8 percent. Calculate the following: a. holding period return rate b. current yield rate c. capital gain rate Please include formulas and calculations
On January 1, 2020 you bought the Superset bond at $1118.07 and sold it on March 15 of the same year. On the day of the sale, you read the following information from the financial pages of a local newspaper: Coupon Maturity Price Yield SuperSet 8. Septembre 15/2025 8 What then is the effective annual return realized on this investment? a) -29.35% b) -6.98% c) -41.47% d) -10.56%

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