Reading 72: Futures Markets and Contracts - LOS e ～ Q1-3

答案和详解如下：

1.Which of the following statements regarding Treasury bond futures is FALSE?

A)   Upon delivery, the long pays the short the futures price divided by the conversion factor for the bond the short chooses to deliver.

B)   The contract size is $100,000.

C)   They are a deliverable contract.

D)   They are quoted in percent and 32nds of a percent of face value.

The correct answer was A)

The delivery price for Treasury bonds under the contract is multiplied by the conversion factor for the bond the short chooses to deliver. The other statements are true.

2.At the Chicago Board of Trade, futures on foreign currencies have a contract size fixed in:

A)   dollars and are priced in foreign currency units per dollar.

B)   foreign currency units and are priced in foreign currency units per dollar.

C)   dollars and are priced in dollars per foreign currency unit.

D)   foreign currency units and are priced in dollars per foreign currency unit.

The correct answer was D)

In the U.S., futures contracts for foreign currencies have a contract size fixed in foreign currency units (e.g. 125,000 Euros) and are priced in dollars per foreign currency unit (e.g. $0.08341 per Peso).

3.Which of the following statements about futures contracts on U.S. exchanges is least likely accurate?

A)   If annualized 90-day LIBOR decreases from 3.64% to 3.58%, a long position in a $1 million Eurodollar futures contract loses $150.

B)   A $100,000 Treasury bond futures contract that settles at 102-16 represents Treasury bonds worth $102,500.

C)   The value of an S& 500 Index Futures contract with a multiplier of $250 has a value of $354,575 on the settlement date if the index value on that date is 1418.3.

D)   Prices of currency futures contracts are quoted as U.S. dollars per unit of the foreign currency.

The correct answer was A)

The long position in a Eurodollar contract gains value when LIBOR decreases. Price quotes on Eurodollar futures are calculated as 100 minus annualized 90-day LIBOR in percent. A change in 90-day LIBOR of 0.01% represents a $25 change in value on a $1 million Eurodollar futures contract. If LIBOR decreases from 3.64% to 3.58%, the contract price increases six ticks from 96.36 to 96.42, so the long position gains 6 × $25 = $150.

Treasury bond futures that have a face value of $100,000 are quoted as a percent of face value with fractions measured in 1/32nds. A bond futures quote of 102-16 represents 102 16/32, or 102.5% of $100,000, which is $102,500.

An S& 500 stock index futures contract is priced at $250 times the level of the index. 1418.3 × $250 = $354,575.

Currency futures contracts are set in units of the foreign currency and stated as USD/unit.