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Here we have a 29.5 year coupon bond to be delivered. If the annual discount rate (yield) was 6% then its value would be

Here we have a 29.5 year coupon bond to be delivered. If the annual discount rate (yield) was 6% then its value would be $72.49, therefore the conversion factor is 0.7249. Therefore the implied futures price with this bond is F ($62.58(1.035) - 2)/0.7249 $86.591

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