The June Treasury bond futures contract has a quoted price of 102'12. What is the current value of one contract in dollars?

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Hubert KochLv2

17 Apr 2019

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A Treasury bond futures contract settles at 95'8. Show calculations.

a. What is the present value of the futures contract in dollars?

b) Calculate the implied annual interest rate on the futures contract?

c) Calculate the new value of the futures contract if interest rates increase by 1 percentage point annually. d

d) Calculate your profit or loss if you sold a futures contract at 95-8 and purchased an offsetting contract when rates increased by 1 percentage point annually.

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