Question

Refer to Table 10-4. a. What was the settlement price on the March 2020 U.S. Treasury Bonds futures contract on March 13, 2020? (Do not round your intermediate calculations. Round your percentage answer to 3 decimal places. (e.g., 32.161)) b. How many March 2020 5-Year U.S. Treasury Notes futures contracts traded on March 13, 2020? c. What is the face value on a Canadian Dollar currency futures contract on March 13, 2020? d. What was the settlement price on the March 2020 E-Mini Nasdaq-100 futures contract on March 13, 2020? (Round your answer to 2 decimal places. (e.g., 32.16)) TABLE 10-4 Futures Quote, March 13, 2020 INTEREST RATE FUTURES Expiration Last U.S. Treasury Bonds ($100,000; pts 32nds of 100%) Mar 2020 178/08 Jun 2020 176'15 10-Year U.S. Treasury Notes ($100,000; pts 32nds +128ths of 100%) Mar 2020 136'005 Jun 2020 136'060 5-Year U.S. Treasury Notes ($100,000: pts 32nds + 128ths of 100%) Mar 2020 123′165 Jun 2020 124'055 2-Year U.S. Treasury Notes ($100,000; pts 32nds + 128ths of 100%) Jun 2020 110'047 Sep 2020 110'100 CURRENCY FUTURES Prior Change Settle Open -2'00 180/08 174'11 -2'17 179/00 173/00 -0′280 136/285 136'040 -1'020 137080 138'035 -0042 123 207 123 100 -0'102 124157 124 275 110045 110'073 0:002 0:055 110045 110 100 Prior (3) reel we way siguig val High Low 179/04 174'11 200 407,014 180/23 172:05 137/040 135/250 687 137'160 135 255 2,187,664 123 165 123'085 14 125-025 123 312 1,489,041 110'095 110'033 822,318 110 100 110/100 Volume Expiration Japanese Yen Mar 2020 Apr 2020 Canadian Dollar Mar 2020 Apr 2020 British Pound Mar 2020 Apr 2020 Mar 2020 Apr 2020 INDEX FUTURES Expiration E-mini Dow Index ($5 x DJIA Index) Mar 2020 Jun 2020 E-Mini S&P 500 Index ($50 x S&P 500 Index) Mar 2020 Jun 2020 E-Mini Nasdaq-100 Index ($20 x Nasdaq-100 Index) Mar 2020 Jun 2020 E-Mini Russell 2000 Index ($50 x Russell 2000 Index) Euro Prior Change Settle Last Open High Low 0.00951 0.00954 0.00957 0.00922 0.00925 -0.00025 0.00927 -0.00026 0.00952 0.00957 0.00957 0.00925 0.72360 0.00145 0.72215 0.71825 0.72555 0.71435 0.00070 0.72215 0.71940 0.72340 0.72285 0.71600 1.23090 1.22590 -0.02730 1.25820 1.25730 -0.03040 1.25870 1.26250 1.25450 1.26230 1.22830 1.22830 1.10550 1.11185 1.11500 -0.00595 1.11780 -0.00740 1.11890 1.11690 1.12230 1.11880 1.12430 1.10750 Prior Last Change Settle Open High Lowe 22,835 1,750 230,169 21,085 23,008 23,147 20,388 20,944 22,830 22,664 1.720 23,022 20,230 230,212 2,664.75 2,652.75 195.75 2.469.00 2,689.75 2.707,75 2,393.50 3,295,273 196,75 2,456.00 2,678.25 2,697.25 2,380.00 3.182.675 7,823.00 7,810.25 607.75 7.215.25 7.910.00 7.978.00 6,942.50 578.813 608.50 7.201.75 7.891.00 7,961.00 6.925.25 440,248 Volume 63,584 364 44,699 66 42,166 201 150,468 504 Volume Mar 2020 Apr 2020 Mar 2020 Apr 2020 INDEX FUTURES Expiration E-mini Dow Index ($5 x DJIA Index) Mar 2020 Jun 2020 E-Mini S&P 500 Index ($50 x S&P 500 Index) Mar 2020 Jun 2020 E-Mini Nasdaq-100 Index ($20 x Nasdaq-100 Index) Mar 2020 Jun 2020 E-Mini Russell 2000 Index ($50 x Russell 2000 Index) Mar 2020 Jun 2020 Euro 1.23090 -0.02730 1.25820 1.25730 1.22830 -0.03040 1.25870 1.25450 1.11185 1.11500 Last 22,835 22,664 2,664.75 2,652.75 7,823.00 7,810.25 1199,70 1191.20 1.26250 1.22590 1.26230 1.22830 1.11780 1.11690 1.12230 1.10550 -0.00595 -0.00740 1.11890 1.11880 1.12430 1.10750 Prior Change Settle Open High Low 1,750 21.085 23,008 20,388 23,147 22,830 23,022 20,230 1,720 20,944 195.75 2.469.00 2.689.75 196.75 2,456.00 2,678.25 607.75 7.215.25 7.910.00 7.978.00 6,942.50 608.50 7.201.75 7.891.00 7,961.00 6.925.25 89.80 1109,90 1197.80 1217:30 1070.50 85.70 1105.50 1196.20 1211.60 1056.60 42,166 201 150,468 504 Volume 230,169 230,212 2,707.75 2,393.50 3.295,273 2.697.25 2,380.00 3.182,675 578,813 440,248 209.016 297,538

Answer 1

To calculate the present value of a bond, we discount its future cash flows at the current interest rate. The present value equals the sum of these discounted cash flows. If the discount rate rises, the present value of the bond decreases accordingly.

Step-by-step explanation:

When we calculate the present value of a bond, we are determining what future cash flows are worth in today's dollars. For a simple two-year bond with a face value of $3,000 and an 8% interest rate, the bond will pay $240 in interest each year.

Using a discount rate equal to the bond's interest rate (8%), the present value of the first year's interest payment is $240 / (1 + 0.08) or $222.22, and the present value of the second year's payment (interest plus principal) is $3,240 / (1 + 0.08)^2 or $2,777.78, making the total present value $3,000.

If the discount rate increases to 11%, the present value of these same cash flows decreases because they are being discounted at a higher rate. The first year's payment's present value is then $240 / (1 + 0.11) or $216.22, and the second year's payment's present value is $3,240 / (1 + 0.11)^2 or $2,625.23, leading to a decrease in the bond's total present value below $3,000.