In Satisfaction of a US Treasury Bond Futures Contract, the Short

question 8

Multiple Choice

In satisfaction of a US Treasury bond futures contract, the short position delivers a 15-year 9% bond instead of the standard bond. What is the conversion factor on this delivery? Assume the last coupon on the bond was just paid.

• A) 1.255
• B) 1.294
• C) 1.354
• D) 1.446

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Definitions:

Acid Derivative

A compound obtained by replacing one or more of the hydroxyl groups of an acid with an organic group.

Anhydride

A compound formed from the removal of water molecules between two carboxylic acid molecules.

Organic Product

A compound or material derived from living organisms or produced by organic chemical reactions.

Reaction

A transformation process where reactants are converted into different substances known as products.