You find the following current quote for the March T-bond contract: $100,000; Pts 32 nd, of 100 percent. Open High Low Settle Open Interest 89-12 89-24 88-22 89-22 55,210 You went long in the contract at the open. Which of the following is/are true? 1. I. At the end of the day, your margin account would be increased. 2. II. 55,210 contracts were traded that day, 3. IIII. You agreed to deliver $100,000 face value T-bonds in March in exchange for $89,120. 4. IV. You agreed to purchase $100,000 face value T-bonds in March in exchange for $89,375,

You find the following current quote for the March T-bond contract: $100,000; Pts 32 nd, of 100 percent. Open High Low Settle Open Interest 89-12 89-24 88-22 89-22 55,210 You went long in the contract at the open. Which of the following is/are true? 1. I. At the end of the day, your margin account would be increased. 2. II. 55,210 contracts were traded that day, 3. IIII. You agreed to deliver $100,000 face value T-bonds in March in exchange for $89,120. 4. IV. You agreed to purchase $100,000 face value T-bonds in March in exchange for $89,375,

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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A. you are offered to buy a 4 year coupon bond in the beginning of its 7th month on its third year for $963.94. its face value is $1,000 and its coupon rate is 5.172% per annum, with coupon paid at the end of each quarter . government bond rate now is 6.9%. a. is $963.94 a good price for you to buy it or not ? what is the fair price for the bond ? b. what is the yield if you buy at the price that you have been offered ? c. if the government bond rate suddenly goes down to 4.7%, what will be the fair value of the bond ? B. the company just paid $1.48 annual dividend and announce the plns to pay $1.54 next year . the dividend growthrate is expected to remain constant at the current level for the following 4 years and then settle at 3% per year , if you are planning to buy this stock in 2 years time, how much would you expect to pay for it if the required rate of return is 7% at the time of your purchase ? ( use two deciaml rounding )
The company expects to invest approximately $1 million in three months in corporate bonds. The current rate of interest is 5.10%. To hedge the position, the company wishes to use 3 year Treasury bond futures contracts trading at 9800. Calculate the profit or loss from the position in futures market if in 3 months the contracts are trading at 91.900. a. $168334.11 O b. $-16833.41 c. $-170862.48 O d. $392716.91 O e. $-1708624.84
Ay 2. Gains and losses are recognized daily IMR = $2,530, MMR = $2,300, for a T-Bond futures $100,000. Suppose you buy one June contract at the open of $98,500, Monday’s settle price is 98’10, and Tuesday’s close is 97’00. What is in your margin call in Tuesday’s settle?
vi.2
3. An investor enters into a forward contract to sell a bond in 3 months time at $100. After one month, the bond price is $99.06. Suppose the interest rate is 5% continuously compounded at all maturities. a) Assuming no coupons are due on the bond over the next two months, what is now the forward price of the bond? b) What is the marked-to-market value of the investor's short position?
Assume the SEP 10-yr T-Note Future just settled at a price of 152-17. The cheapest- to-deliver (CTD) Treasury bond costs 133-12 in the market, has a term of exactly 21 years left and carries a coupon of 4.0%. With respect to settling the Future, which of the following statements is accurate when the above CTD bond is delivered? The Long will pay $116,379 to the Short The Long will pay $134,455 to the Short The Long will pay $176,439 to the Short The Long will pay $137,100 to the Short The Long will pay $151,304 to the Short
. The following bond was quoted in The Wall Street Journal:Bonds: Curr.yld.: Vol: Close: Net chg:CVS 7.3 10 80.875 + 1.2Five bonds were purchased yesterday, and 5 bonds were purchased today. How much more did thefive bonds cost today? (Round your answer to the nearest cent.)Increased cost $
Jon establishes a long position of one T-bond future today for a settlement price of 101'02. The exchange requires an initial margin of $2700 and a maintenance margin of $2500. Below are the next two days closing price on this contract. Day 1: settlement price100'31 Day 2: settlement price 99'30 The margin account balance after two days is Numeric Response dollars
On 5/15/2008, the thirty-year T-bond with a coupon of 5.00%, and maturing on 5/15/2038 was quoted at a clean price of 102.50. The general collateral repo rate for a term of one month was 4.775%. Your investment bank receives an order from a client to buy this bond forward in one month’s time. What is the forward price that you should quote? Why? How should your desk hedge itself assuming that the deal is done on May 15, 2008?
Dengar
An insurance company is analyzing the following three bonds, each with five years to maturity, annual interest payments, and is using duration as its measure of interest rate risk. What is the duration of each of the three bonds? (Do not round intermediate calculations. Round your answers to 2 decimal places. (e.g., 32.16)) a. $10,000 par value, coupon rate=9.7%, r 0.17 b. $10,000 par value, coupon rate 11.7%, r= 0.17 c. $10,000 par value, coupon rate = 13.7%, p=0.17 Duration of the bond years
Nn.83. Subject :- Finance

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