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

Question

Quizplus · Accepted Answer

The conversion factor for a bond with coupon rate of 9% and remaining maturity of 15 years is 1.294. This can be obtained from the Conversion Factor Table provided by the exchange. The fact that the last coupon was just paid has no effect on the conversion factor. Therefore, the correct answer is B.

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