FRM Part I · FRM Exam Part I · Futures Markets
A Treasury bond futures contract is quoted at 118-16 (in 32nds of a point) with a face value of USD 100,000 per contract. What is the dollar quote value of the contract?
The contract is worth USD 118,500. Treasury futures prices are quoted in points and 32nds, so 118-16 equals 118.5 percent of the USD 100,000 face value, not 118.16. Multiplying 1.185 by 100,000 gives USD 118,500.
- AUSD 118,160.00
- BUSD 118,500.00Correct
- CUSD 118,250.00
- DUSD 119,160.00
Explanation
The quote 118-16 means 118 and 16/32, which is 118.50. Multiplying by USD 100,000 / 100 gives 118.50 x 1,000 = USD 118,500. Reading 16 as decimal hundredths gives USD 118,160, which is the key error.
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