Assume that a T-bill futures contract with a face value of $1 million is purchased at a price of $95.00 per $100 face value. At settlement, the price of T-bills is $95.50. What is the difference between the selling and purchase price of the futures contract?

Question

Quizplus · Accepted Answer

The difference in price from $95.00 to $95.50 per $100 face value is $0.50. Since the contract is for $1 million, the total difference is $0.50/$100 * $1,000,000 = $5,000.

Assume That a T-Bill Futures Contract with a Face Value