FRM Part I · FRM Exam Part I · Interest Rate Futures
A Treasury bond futures contract has a face value of $100,000 and is quoted in price points and 32nds of a point per $100 of face value. The contract is quoted at 118-16. What is the dollar value of the contract at this quote?
The contract is worth $118,500. The quote 118-16 means 118 and 16/32, or 118.5 per $100 of face value, and multiplying by the $100,000 face value (1,000 units of $100) gives $118,500. The 32nds fraction is not a decimal.
- A$118,160
- B$118,500Correct
- C$118,050
- D$118,250
Explanation
The quote 118-16 means 118 plus 16/32, which is 118.5 per $100 of face value. On $100,000 face value this is 118.5 x 1,000 = $118,500. Reading 16 as a decimal (118.16) gives the $118,160 distractor, which is wrong.
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