Treasury bond futures: conversion factor

The short position in a US Treasury bond futures contract can select among many different eligible (maturity greater than 15 years) bonds for delivery. This is by design; the Fed and Treasury do want to see a "run on the issue" if only one bond can be delivered. The conversion factor puts the eligible bonds on a level playing field, making the short almost (but not quite) indifferent to which bond is delivered.

Channel: Education
Uploaded: November 30, 1999 at 12:00 am
Author: bionicturtledotcom

Length: 06:41
Rating: 5.00
Views: 803

Tags: bonds  Finance  treasury  

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