1.A short seller of September Treasury futures delivers a semiannual Treasury bond in September 1st to satisfy the September futures obligation. The bond pays coupon every April 1st and October 1st. On delivery date September 1 st, the short seller will _____. The annual coupon rate is 8% and the short seller bought the bond on June 1st.

• A.Receive accrued interest of 6.66
• B.Receive accrued interest of 33.33
• C.Paid accrued interest of 20
• D.Paid accrued interest of 66.66
• E.Receive accrued interest of 13.33

2.Which of the following is true regarding Conversion Factor for a particular eligible Treasury Bond: I. Its conversion factor stays the same even interest rate change II. Its conversion factor can differ if it is delivered for another futures contract with different delivery date

• A.II only
• B.I and II are true
• C.None of the above are true
• D.I only

3.If the YTM for a semiannual discount bond is 10%, then its true annualized yield is ____.

• A.10.00%
• B.10.35%
• C.10.25%
• D.10.12%
• E.10.50%