S3 7.3 Flashcards
Where are Treasury Bill traded?
CBOT
What is the face value of a T-Bill contract?
1M
What does 1 Basis Point equal to?
1 / 100th of 1% = 0.01 %/ 100 = 0.0001%
How much is a 12-month T-Bill Basis point?
$100 (1’000,000 x 0.0001) or 1/100th of 1% of 1M
If one basis point for a 12-mth T-Bill is $100, how much is 1 Basis Point for a 3-month T-Bill?
$25 ($100 / 4)
Does the Federal Reserve Bank regulate T-Bill futures?
No - the CFTC does
What is the face value of 1 GNMA contract?
$100,000
How many GNMA contracts would be needed to hedge 1 x 12-Month T-Bill contract?
10 (1M / 100,000)
What is the term for matching Number of Contracts needed to hedge a futures position?
Weighting
What is the FOMC?
Federal Open Market Committee (part of the Fed Reserve Bank)
What exerts the greatest influence on T-Bill interest rates and fututres?
FOMC operations
How do long-term and short-term bond maturities correlate to Interest rates?
Long-term maturities react the greatest, but shoirt-term maturities react the quickest
How are GNMA contracts valued (units)?
In 32nds (1 BP = 1% of 100,000 = $1000)
What is one fraction of a point (32nd) for GNMA’s?
$31.25 ($1000 / 32)
What are the T-Bill Delivery months?
March (3), June (6), September (9) and December (12)
What are 3 examples of long-term maturities?
1) AAA Corporate Bonds
2) Mortgages
3) Long-term T-Bills
Is a Eurodollar = Euro?
No - Eurodollars are U.S. deposits in foreign banks
What is LIBOR?
London Interbank Offered Rate
What are Eurodollar futures pegged to?
LIBOR
What arfe Eurodolar futures used for?
To lock in interest rates on for funds to be borrowed in the future
What is the undrlying assegt for Eurodollar futures?
Time Deposits (CDs)
What is the face2 value of 1 x Eurodollar contract?
$1’000,000
How much is 1 Basis Point for a Eurodollar contract?
$25 (0.0025% of 1M)
How much is 1 Basis Point for LIBOR?
$25
What is the face value of a contract (or trading unit) in Swiss Francs?
$125,000 Swiss Francs
What is the face value of 1 x SPX futures contract?
$250 x Index value