View Full Version : Suppose the September CBOT Treasury bond futures contract has a quoted price of 89-09
byrdcj
Feb 20, 2011, 08:24 PM
Suppose the September CBOT Treasury bond futures contract has a quoted price of 89-09. The T-bond is a 20-year 6% coupon bond and the interest is paid semi-annually. 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%
lknoles82
Jun 11, 2011, 02:27 PM
Suppose the September CBOT Treasury bond futures contract has a quoted price of 89-09. The T-bond is a 20-year 6% coupon bond and the interest is paid semi-annually. What is the implied annual interest rate inherent in this futures contract?
jdohdoh
Oct 3, 2011, 08:19 PM
Answer (C). 7.00%
Quote: 89'09 0.89 0.09
N: 40
PV = (0.89+0.09/32) × $1,000 = -$892.81
FV = $1,000
PMT = $30
I/YR = 3.5%
Annual rate: I/YR × 2 = 7.00%