Suppose the December CBOT Treasury Bond Futures Contract Has a Quoted

question 8

Multiple Choice

Suppose the December CBOT Treasury bond futures contract has a quoted price of 80'07.If annual interest rates go up by 1.00 percentage point, what is the gain or loss on the futures contract? (Assume a $1,000 par value, and round to the nearest whole dollar.)

• A) −$78.00
• B) −$82.00
• C) −$86.00
• D) −$90.00
• E) −$95.00

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