3. Changes in the Cheapest to Deliver Consider a Treasury futures contract that has 2 issues eligible for delivery. Futures Price Values as of futures expiration Yield of Price of Price of Converted Converted 5.25% of 5.25% of 4.625% of price of price of 2/37 2/37 8/37 2/37 8/37 3.000 134.664 119.320 3.250 130.096 115.168 3.500 125.727 111.202 3.750 121.548 107.413 4.000 117.551 103.792 4.250 113.726 100.332 4.500 110.065 97.024 * Conversion factors: 5-1/4s =0.911; 4-5/85 =0.805 a. Given the information provided above, determine the expiration price of the futures contract at the various yields shown for the 5-1/4s of 2/15/37. b. Which issue would you expect to be cheapest to deliver with yields at 4.5%? 3. Changes in the Cheapest to Deliver Consider a Treasury futures contract that has 2 issues eligible for delivery. Futures Price Values as of futures expiration Yield of Price of Price of Converted Converted 5.25% of 5.25% of 4.625% of price of price of 2/37 2/37 8/37 2/37 8/37 3.000 134.664 119.320 3.250 130.096 115.168 3.500 125.727 111.202 3.750 121.548 107.413 4.000 117.551 103.792 4.250 113.726 100.332 4.500 110.065 97.024 * Conversion factors: 5-1/4s =0.911; 4-5/85 =0.805 a. Given the information provided above, determine the expiration price of the futures contract at the various yields shown for the 5-1/4s of 2/15/37. b. Which issue would you expect to be cheapest to deliver with yields at 4.5%