easy · FRM Part 1
How does the maturity of a bond in the delivery basket affect its conversion factor (CF)?
- Longer-maturity bonds typically have CFs that deviate further from 1.0 (higher or lower depending on the coupon)
- The exchange sets the same CF for all bonds with the same maturity date
- Bonds with shorter maturities always have CFs greater than 1.0
- The CF is solely determined by the coupon and is independent of maturity
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