S3 7.3 Flashcards

1
Q

Where are Treasury Bill traded?

A

CBOT

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2
Q

What is the face value of a T-Bill contract?

A

1M

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3
Q

What does 1 Basis Point equal to?

A

1 / 100th of 1% = 0.01 %/ 100 = 0.0001%

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4
Q

How much is a 12-month T-Bill Basis point?

A

$100 (1’000,000 x 0.0001) or 1/100th of 1% of 1M

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5
Q

If one basis point for a 12-mth T-Bill is $100, how much is 1 Basis Point for a 3-month T-Bill?

A

$25 ($100 / 4)

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6
Q

Does the Federal Reserve Bank regulate T-Bill futures?

A

No - the CFTC does

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7
Q

What is the face value of 1 GNMA contract?

A

$100,000

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8
Q

How many GNMA contracts would be needed to hedge 1 x 12-Month T-Bill contract?

A

10 (1M / 100,000)

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9
Q

What is the term for matching Number of Contracts needed to hedge a futures position?

A

Weighting

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10
Q

What is the FOMC?

A

Federal Open Market Committee (part of the Fed Reserve Bank)

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11
Q

What exerts the greatest influence on T-Bill interest rates and fututres?

A

FOMC operations

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12
Q

How do long-term and short-term bond maturities correlate to Interest rates?

A

Long-term maturities react the greatest, but shoirt-term maturities react the quickest

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13
Q

How are GNMA contracts valued (units)?

A

In 32nds (1 BP = 1% of 100,000 = $1000)

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14
Q

What is one fraction of a point (32nd) for GNMA’s?

A

$31.25 ($1000 / 32)

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15
Q

What are the T-Bill Delivery months?

A

March (3), June (6), September (9) and December (12)

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16
Q

What are 3 examples of long-term maturities?

A

1) AAA Corporate Bonds
2) Mortgages
3) Long-term T-Bills

17
Q

Is a Eurodollar = Euro?

A

No - Eurodollars are U.S. deposits in foreign banks

18
Q

What is LIBOR?

A

London Interbank Offered Rate

19
Q

What are Eurodollar futures pegged to?

A

LIBOR

20
Q

What arfe Eurodolar futures used for?

A

To lock in interest rates on for funds to be borrowed in the future

21
Q

What is the undrlying assegt for Eurodollar futures?

A

Time Deposits (CDs)

22
Q

What is the face2 value of 1 x Eurodollar contract?

A

$1’000,000

23
Q

How much is 1 Basis Point for a Eurodollar contract?

A

$25 (0.0025% of 1M)

24
Q

How much is 1 Basis Point for LIBOR?

A

$25

25
Q

What is the face value of a contract (or trading unit) in Swiss Francs?

A

$125,000 Swiss Francs

26
Q

What is the face value of 1 x SPX futures contract?

A

$250 x Index value