Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. What is the implied annual interest rate inherent in the futures contract? Assume this is a a 20 year bond with semi-annual interest payments. The face value of the bond is $1000, and the semi-annual coupon payments are $30.

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
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Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. What is the implied annual interest rate inherent in the futures contract? Assume this is a a 20 year bond with semi-annual interest payments. The face value of the bond is $1000, and the semi-annual coupon payments are $30.


(a) 6.86%
(b) 7.22%
(c) 7.60%
(d) 8.00%
(e) 8.40% 

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