FRM Part I · FRM Exam Part I · Interest Rate Futures
A Treasury bond futures contract has a face value of USD 100,000 and is quoted at 102-08 in the standard 32nds convention. What is the quoted value of the contract?
The contract is quoted at USD 102,250. The quote 102-08 means 102 plus 8/32, or 102.25 per 100 of face value, and scaling by a USD 100,000 face gives 102,250. The digits after the hyphen are 32nds, not decimals.
- AUSD 102,080
- BUSD 102,250Correct
- CUSD 102,800
- DUSD 102,008
Explanation
102-08 means 102 and 8/32 = 102.25 per 100 of face. Multiplying by 100,000/100 = 1,000 gives USD 102,250. Reading 08 as decimal .08 or .8 gives the other values, which are wrong because the fraction is in 32nds.
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