Answered: The June CBOT Treasury bond futures…

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?

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter24: Enterprise Risk Management

Section: Chapter Questions

Problem 2P: A Treasury bond futures contract has a settlement price of 89’08. What is the implied annual yield?

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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.

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