II is July-30, 2009. The cheapest-to-deliver bond in a September 2009 Treasury bond futures contract is a 13% coupon bond, and delivery is expected to be made on September 30, 2009.

Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is 12% per annum.

The conversion factor for the bond is 1.5. The current quoted bond price is $110. Calculate the quoted futures price for the contract. L-856