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    byrdcj's Avatar
    byrdcj Posts: 1, Reputation: 1
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    #1

    Feb 20, 2011, 08:24 PM
    Suppose the September CBOT Treasury bond futures contract has a quoted price of 89-09
    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's Avatar
    lknoles82 Posts: 1, Reputation: 1
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    #2

    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's Avatar
    jdohdoh Posts: 1, Reputation: 1
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    #3

    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%
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