it is July 30,2017. The cheapest-to-deliver bond in a September 2017 Treasury bond futures contract is a 13% coupon bond, and deliveryis expected to be made on September 30,2017. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is 12% per annum. The conversion factor for the bond is 1.5. The current quoted bond price is $110. Calculate the quoted futures price for the contract.
it is July 30,2017. The cheapest-to-deliver bond in a September 2017 Treasury bond futures contract is a 13% coupon bond, and deliveryis expected to be made on September 30,2017. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is 12% per annum. The conversion factor for the bond is 1.5. The current quoted bond price is $110. Calculate the quoted futures price for the contract.
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Related questions
On September 10, 2009, U.S. Treasury Bonds futures for Dec 2009delivery was traded at 116-20 at CBOT. On September 13, the futureswas traded at 114-29. You opened your position by taking 10 longpositions on the T-bond futures on Sept 10. As of Sept 10, theinitial margin is $4,995 per contract and the maintenance margin is$3,700.
i) Calculate your gains (losses) on your position as ofSeptember 13.
ii) What is the highest price at which you will be required todeposit funds to your margin account (a margin call)?
iii) Would you have faced a margin call on September 13? If so,what is the amount to deposit?
| Dec 2009 T-Bond Futures Price | |
| 9/10/2009 | 116-20 |
| 9/13/2009 | 114-29 |
| Initial margin | $ 4,995 |
| Maintenance margin | $ 3,700 |
| No of contracts | 10 |
