What will be the amount of principal invoice the short seller (who has shorted Treasury futures) will receive if he delivers a bond with a conversion factor of .8 on delivery date. The Treasury futures price today is 120 and the futures price on delivery date turns out to be 115.

• A.98,000
• B.92,000
• C.95,000
• D.96,000
• E.94,000

Cash and carry will be profitable if the implied return is:

• A.Higher than zero
• B.Higher than the yield of the Treasury bond
• C.Higher than repo rate
• D.Higher than both the repo rate and the yield of the bond
• E.Lower than the yield of the Treasury bond

The price quote for a Treasury Bond given in the WSJ is 120.08. This means that the ____ price for a 1,000 par bond is ___.

• A.Clean/ $1,200.80
• B.Full/ $1,200.80
• C.Clean/ $1,202.50
• D.Full/ $1,202.50
• E.Clean/ $120.08