Exam 6: Interest Rate Futures

The modified duration of a bond portfolio worth $1 million is 5 years. By approximately how much does the value of the portfolio change if all yields increase by 5 basis points?

Which of the following is NOT an option open to the party with a short position in the Treasury bond futures contract?

A portfolio is worth $24,000,000. The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000. On the delivery date the duration of the bond that is expected to be cheapest to deliver is 6 years and the duration of the portfolio will be 5.5 years. How many contracts are necessary for hedging the portfolio?

Which of the following is NOT true about duration?

Which of the following is closest to the duration of a 2-year bond that pays a coupon of 8% per annum semiannually? The yield on the bond is 10% per annum with continuous compounding.

How much is a basis point?

A trader enters into a long position in one Eurodollar futures contract. How much does the trader gain when the futures price quote increases by 6 basis points?

Which of the following is applicable to corporate bonds in the United States?

Which of the following day count conventions applies to a US Treasury bond?

What is the quoted discount rate on a money market instrument?

A company invests $1,000 in a five-year zero-coupon bond and $4,000 in a ten-year zero-coupon bond. What is the duration of the portfolio?

It is May 1. The quoted price of a bond with a 30/360 day count and 12% per annum coupon in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price?

A trader uses 3-month Eurodollar futures to lock in a rate on $5 million for six months. How many contracts are required?

In the U.S. what is the longest maturity for 3-month Eurodollar futures contracts?

The conversion factor for a bond is approximately

It is May 1. The quoted price of a bond with an Actual/Actual (in period) day count and 12% per annum coupon in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price?

Duration matching immunizes a portfolio against

The time-to-maturity of a Eurodollars futures contract is 4 years, and the time-to-maturity of the rate underlying the futures contract is 4.25 years. The standard deviation of the change in the short term interest rate, σ = 0.011. What is the difference between the futures and the forward interest rate?

Which of the following is true?

The most recent settlement bond futures price is 103.5. Which of the following four bonds is cheapest to deliver?