91-day Treasury bill rates = 9.71 percent 91-day Treasury bill futures rates = 9.66 percent
(Reminder: Treasury bill prices are calculated using the following formula:
P = FV × (1 - d_t/360)
Where P = price, FV = face value, d = discount yield, and t = days until maturity.)
An investor sold a $100,000 Treasury bond futures contract at 99-02/32^nds yesterday.Today the Treasury bond futures settlement price is 99-31/32^nds.What is the one-day profit or loss on the Treasury bond futures position?

Question

Quizplus · Accepted Answer

The investor sold the futures at 99-02/32 and the settlement price is 99-31/32. The price increased, resulting in a loss. The change in price is 29/32, which is equivalent to $906.25 for a $100,000 contract.

91-Day Treasury Bill Rates = 9