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Given the below futures price quotes. It is now February 1, 2021 and the underlying has seminannual coupons on May 1 and November 1. Assume
Given the below futures price quotes. It is now February 1, 2021 and the underlying has seminannual coupons on May 1 and November 1. Assume the futures contracts mature on the 10 day of the month.
Treasury Bonds, $100,000, 4% coupon
Bond | Month | Quote | Conversion Factor |
ZBH1 | March 2021 | 162-18 | 0.847 |
ZBM1 | June 2021 | 160-25 | 0.836 |
5-Year Treasury Notes, $100,000, 0.11% coupon
Bond | Month | Quote | Conversion Factor |
ZFH1 | March 2021 | 125-082 | 0.78 |
ZFM1 | June 2021 | 123-117 | 0.791 |
What is the cash price of the March 2021 delivery of the treasury bond futures contract?
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