Assume that the Treasury bond futures price is 108-09. Which of the following four bonds is...

Assume that the Treasury bond futures price is 108-09. Which of the following four bonds is cheapest to deliver (CTD)?

Bond	Price	Conversion Factor
1	102-30	0.9499
2	102-14	0.9444
3	101-11	0.9285
4	99-22	0.9119

Expert Solution

jeff jeffy answered 2 months ago

Suppose that Treasury futures price is 94-08. Which of the following bonds that can be delivered...

Suppose that Treasury futures price is 94-08. Which of the following bonds that can be delivered is cheapest to deliver bond? Bond 1: Price 99-16 and Conversion factor 1.02; Bond 2: Price 110-16 and Conversion factor 1.15; Bond 3: Price 120-16 and Conversion factor 1.23 Any bond can be cheapeast to deliver bond Bond 1 Bond 2 Bond 3

A treasury bond futures price is 103-24. The price of three deliverable bonds are 110-06, 138-12...

A treasury bond futures price is 103-24. The price of three deliverable bonds are 110-06, 138-12 and 155-28. Their conversation factors are 1.0067, 1.2598, and 1.4367, respectively which bond is the cheapest to deliver?

3 what are the conditions (bond features) for deliverable bonds in a Treasury bond futures contract?

In the bond market, we find the following Treasury bonds and their prices. Bond price $980...

In the bond market, we find the following Treasury bonds and their prices. Bond price $980 $98 $96 Maturity 2 years 1 year 2 years Face value $1,000 $100 $100 Coupon rate 10% 0% 0% a) Compute the YTMs for the above three bonds. b) Using the two zero coupon bonds, compute the forward rate that is applied for the period from the end of Year 1 to the end of Year 2. c) Suppose that we need the above...

what is the par value of treasury bond futures?

Which of the following bonds would be cheapest to deliver given a T-note futures price of...

Which of the following bonds would be cheapest to deliver given a T-note futures price of 78.6075? (Assume that all bonds have semiannual coupon payments based on a par value of $100.) Please show steps and formulas Answers: a. 6.5-year bond with 3% coupons and a yield of 1.5% b. 8.5-year bond with 8.5% coupons and a yield of 10% c. 10-year bond with 5.5% coupons and a yield of 6%

The cheapest-to-deliver bond in a Treasury bond futures contract is a 5% coupon bond, and delivery...

The cheapest-to-deliver bond in a Treasury bond futures contract is a 5% coupon bond, and delivery is expected in 250 days. Coupon payments on the bond will be made in 175 days and 357 days from now. The last coupon date was 9 days ago. The rate of interest with continuous compounding is 2.5% per annum for all maturities (i.e. term structure is flat). The conversion factor for the bond is 0.9904. The current quoted bond price is $125. Calculate...

Suppose there are 3 bonds with the following characteristics. There is a 1-year Treasury bond with...

Suppose there are 3 bonds with the following characteristics. There is a 1-year Treasury bond with a face value of $1000, a 8% coupon rate, and the yield to maturity is 8%. There is a 2-year treasury bond with a face value of $1000, a 15% coupon rate, and the yield to maturity is 8%. There is also a 3-year treasury bond with $1000 face value, a 5% coupon rate, and the yield to maturity is 8%. a) Based on...

Consider the following. a. What is the duration of a four-year Treasury bond with a 4...

Consider the following. a. What is the duration of a four-year Treasury bond with a 4 percent semiannual coupon selling at par? b. What is the duration of a three-year Treasury bond with a 4 percent semiannual coupon selling at par? c. What is the duration of a two-year Treasury bond with a 4 percent semiannual coupon selling at par? (For all requirements, do not round intermediate calculations. Round your answers to 2 decimal places. (e.g., 32.16))

Consider the following. a. What is the duration of a four-year Treasury bond with a 14...

Consider the following. a. What is the duration of a four-year Treasury bond with a 14 percent semiannual coupon selling at par? b. What is the duration of a three-year Treasury bond with a 14 percent semiannual coupon selling at par? c. What is the duration of a two-year Treasury bond with a 14 percent semiannual coupon selling at par?

Question