Question

a June 10 year T Note Futures contract is quoted as 131'7, what is its contract value? keep your answer to 2 decimal points.

Correct Answer: 131,218.75 ± 1

How do you get this answer

Answer 1

The treasury bills refers to the securities that are issued by the government issued at the discount and redeemable at the par value, it doesn't give interest rate but the difference in the price is the yield to investor.

The Price of the treaury bill is quoted in Fraction of 1/32, The Number of after the decimal or comma is multiplied by the fraction leaving before decimal number unchanged.

For Example (For reference only), If It is 120'6 then after after decimal value or comma value 6 will be multiplied by 1/32 which is 6*1/32 = 0.1875 and this will get added to full dollar amount 120 which will become 120+0.1875 = 120.1875.

In this scenario, 131'7, We will multiply 7 by the fraction to arrive at the Actual value represented in treasury note.

= 7* 1/32

= 0.21875

So, The value represent in Treasury contract value is = 131 + 0.21875

= 131.21875

.Now, We know that 1 future contract contains 1000 securities

So, 1 Future Contract = 131.21875 * 1000

= $131218.75