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 buys a $100,000 Treasury bond futures contract at 99-13/32^nds.The following day the Treasury bond futures settlement price is 99-26/32^nds.What is the one-day profit or loss on the Treasury bond futures position?

Question

Quizplus · Accepted Answer

The profit is calculated based on the change in the futures price from 99-13/32 to 99-26/32. Each 1/32 of a point in the futures price is worth $31.25 ($1,000 * 1/32). The price increased by 13/32 (from 99-13/32 to 99-26/32), so the profit is 13 * $31.25 = $406.25.

91-Day Treasury Bill Rates = 9