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Treasury Bond Futures Contract: Obligations and Gain or Loss when the Price Changes

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Suppose you purchase a Treasury bond futures contract at a price of 95 percent of the face value, $100,000.

a.) What is your obligation when you purchase this futures contract?

b.) Assume that the Treasury bond futures price falls to 94 percent. What is your loss or gain?

c.) Assume that the Treasury bond futures price rises to 97. What is your loss or gain?

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Solution Summary

This solution provides formula and calculations for the three questions relating to the treasury bond futures contract.

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Suppose you purchase a Treasury bond futures contract at a price of 95 percent of the face value, $100,000.

a.) What is your obligation when you ...

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