Which of the following statements about futures contracts on U. S. exchanges is least likely accurate（）
A. If annualized 90-day LIBOR decreases from 3.64% to 3.58%, a long position in a $1 million Eurodollar futures contract loses $150.
B. A $100000 Treasury bond futures contract that settles at 102-16 represents Treasury bonds worth $102500.
C. The value of an S&P 500 Index Futures contract with a multiplier of $ 250 has a value of $ 354575 on the settlement date if the index value on that date is 1418.3.
参考答案：A
解析：
The long position in a Eurodollar contract gains value when LIBOR decreases. Price quotes on Eurodollar futures are calculated as 100 minus annualized 90-day LIBOR in percent. A change in 90-day LIBOR of 0.01% represents a $ 25 change in value on a $1 million Eurodollar futures contract. If LIBOR decreases from 3.64% to 3.58% , the contract price increases six ticks from 96.36 to 96.42, so the long position gains 6×$ 25=$150. Treasury bond futures that have a face value of $100000 are quoted as a percent of face value with fractions measured in 1/32ntis. A bond futures quote of 102-16 represents 102 16/32, or 102.5% of $100000, which is $102500. An S＆P 500 stock index futures contract is priced at $250 times the level of the index. 1418.3×$ 250=$ 354575.