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)