Answer-first summary for fast verification
Answer: Bond B
The conversion factor is based on the bond’s value assuming a 6% yield. In general, a bond with a coupon closer to or above 6% will have a higher conversion factor than a lower-coupon bond, all else equal. Among the choices: - Bond A: 5.0% coupon - Bond B: 6.5% coupon - Bond C: 6.0% coupon - Bond D: 5.5% coupon Bond B has the highest coupon rate and therefore the highest conversion factor among the four. **Answer: B**
Author: Manit Arora
Ultimate access to all questions.
Q-171.3. The following four bonds can be delivered by the party with the short position in a U.S. Treasury bond futures contract:
Which of these bonds has the HIGHEST conversion factor?
A
Bond A
B
Bond B
C
Bond C
D
Bond D
No comments yet.