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Homework-Solution in XL -fin 540: 1-Suppose the September CBOT Treasury bond futures contract has a quoted price of 89-09.

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Homework-Solution in XL -fin 540: 1-Suppose the September CBOT Treasury bond futures contract has a quoted price of 89-09. What is the implied annual interest rate inherent in this futures contract?

a. 6.32%

b. 6.65%

c. 7.00%

d. 7.35%

e. 7.72%

 

2-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?

a. 6.86%

b. 7.22%

c. 7.60%

d. 8.00%

e. 8.40%

3-Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. If annual interest rates go up by 1.00 percentage point, what is the gain or loss on the futures contract? (Assume a $1,000 par value, and round to the nearest whole dollar.)

a. -$78.00

b. -$82.00

c. -$86.00

d. -$90.00

e. -$95.00