medium · FRM Part 1 Financial Markets and Products
In a Treasury bond future, if a bond has a conversion factor of 1.0000, what does this conceptually imply?
- The bond's coupon and maturity characteristics align exactly with the contract's notional standard
- Zero accrued interest, since the conversion factor is unrelated to the bond's coupon accrual schedule
- A guarantee that the bond will always be the Cheapest-to-Deliver bond among the eligible basket
- The bond is currently trading exactly at par value of 100 in the underlying cash bond market
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