Identify the underlying asset in a treasury note futures contract?
A.
Any long term US Treasury bond with a maturity of more than 10 years and not callable within 10 years
B.
Any long term US Treasury note with a maturity between 6.5 years and 10 years from the date of delivery
C.
Any long term US Treasury bond with a maturity of more than 15 years and not callable within 15 years
D.
Any of the above, with the price adjusted with the coupon and maturity date of the bond delivered
The Answer Is:
B
This question includes an explanation.
Explanation:
The underlying asset in a Treasury note futures contract is any long term Treasury note with a maturity of no less than 6.5 years and no more than 10 years. The underlying asset in a treasury bond futures contract is any long term US Treasury bond with a maturity of more than 15 years and not callable within 15 years.
Note the difference betwen what the underlying asset is for treasury bond futures and treasury note futures. In either case, adjustments will be made for the coupon and maturity of the actual bond delivered (the concept of the adjustment of 'cheapest-to-deliver').
8006 PDF/Engine
Printable Format
Value of Money
100% Pass Assurance
Verified Answers
Researched by Industry Experts
Based on Real Exams Scenarios
100% Real Questions
Get 65% Discount on All Products,
Use Coupon: "ac4s65"