题目
The settlement price of a U.S. Treasury bond futures contract is $98.50 (98-16). The two bonds eligible for delivery are: Bond A: Quoted Price of $97.00 and conversion factor (CF) of 0.96; Bond B: Quoted Price of $102.00 and conversion factor (CF) of 1.03 Which bond is cheapest-to-deliver (CTD)?
选项
A.Bond A is the CTD because it cost the short $2,440 per contract to deliver
B.Bond A is the CTD because it profits the short $5,500 per contract to deliver
C.Bond B is the CTD because it costs the short $545 per contract to deliver
D.Bond B is the CTD because it profits the short $1,316 per contract to deliver
答案
C
解析
Bond B is the CTD because it costs the short $545 per contract to deliver Bond A: 98.50×0.96-$97 = -2.44 (-$2,440 per contract) Bond B: 98.50×1.03-$102=-0.545 (-$545 per contract) 本题如下 Bond A: 98.50×0.96－$97 = －2.44 (-$2,440 per contract) Bond B: 98.50×1.03－$102=－0.545 (-$545 per contract)