RSM435H1 Chapter Notes - Chapter 6: United States Treasury Security, Accrued Interest, Futures Contract
Document Summary
Price quote is interest rate earned over face value per 360 days. P is quoted price, y is cash price, n is remaining life measured in calendar days. Quoted in dollars and thirty-seconds of a dollar. Cash price = quoted price + accrued interest since last coupon date. Treasury bond futures contract: any government bond with between 15 and 25 years to maturity on first day of delivery month can be delivered. Ultra t-bond: any bond with maturity over 25 years can be delivered. 10-year treasury note futures contract: any government bond with maturity between 6. 5 and 10 years can be delivered. Ultra 10-year treasury note: any bond with maturity between 9 years 5 months and 10 years. 5 year and 2 year treasury note futures contracts: original life must be less than 5. 25 years. Quoted in dollars and thirty-seconds of a dollar per face value.
