Trader Z holds short one T- Bond futures with delivery month DEC. It is now The 6th trading day in DEC and Z decides to deliver against her short position. The DEC T-Bond futures settlement price was 101 12 yesterday. Z considers the delivery of one of the following four deliverable T-Bonds: Bond Market price Conversion Factor 125-05 1.2131 B 142-15 1.3792 115-31 1.1149 144-02 1.4026. Which of these T-Bonds will be delivered and why, Show all your calculations.

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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Q2.
Trader Z holds short one T- Bond futures with delivery month DEC. It is
now The 6th trading day in DEC and Z decides to deliver against her short
position.
The DEC T-Bond futures settlement price was 101 - 12 yesterday.
Z considers the delivery of one of the following four deliverable T-Bonds:
Bond
Market price
Conversion Factor
A
125-05
1.2131
B
142-15
1.3792
C
115-31
1.1149
144-02
1.4026.
Which of these T-Bonds will be delivered and why. Show all your
calculations.
1.
Transcribed Image Text:Q2. Trader Z holds short one T- Bond futures with delivery month DEC. It is now The 6th trading day in DEC and Z decides to deliver against her short position. The DEC T-Bond futures settlement price was 101 - 12 yesterday. Z considers the delivery of one of the following four deliverable T-Bonds: Bond Market price Conversion Factor A 125-05 1.2131 B 142-15 1.3792 C 115-31 1.1149 144-02 1.4026. Which of these T-Bonds will be delivered and why. Show all your calculations. 1.
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