Exhibit 21.4 Use the Information Below for the Following Problem(S)

question 97

Multiple Choice

Exhibit 21.4
Use the Information Below for the Following Problem(S)
A 3-month T-bond futures contract (maturity 20 years, coupon 6%, face $100,000) currently trades at $98,781.25 (implied yield 6.11%) . A 3-month T-note futures contract (maturity 10 years, coupon 6%, face $100,000) currently trades at $101,468.80 (implied yield 5.80%) . Assume semiannual compounding.
-Refer to Exhibit 21.4.Suppose the yield curve changed so the that the new yield on the T-bond contract rose to 6.5% and the new yield on the T-note contract fell to 5.5%.Calculate the profit on the NOB futures spread.(Assume coupons are paid semiannually)

• A) -$5850.92
• B) -$6,671.42
• C) $6,671.42
• D) $5850.92
• E) None of the above

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